Incidentally, the only series I gave 10 on this site are both labeled as tragedy. They're Gunslinger Girl (already mentioned, so I'm just seconding it) and Utsuro no Hako to Zero no Maria (Novel). If you're open to novels, you could try it, the story is a masterpiece but I don't know if it can be considered a tragedy (even with the direction taken in the latest volumes), at least for what I understood you consider a tragedy. Concerning novels, I'd also suggest Battle Royale (novel). Don't try the manga since it's just a fanservice feast of ecchi and violence (which totally misses the point of the novel).

For manga not mentioned so far, you can also try Shi ni Itaru Yamai. It's not bad, but well there are definitely better ones already mentioned, I just wanted to add it, maybe it's your kind of story.

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What I like in Trivial Pursuit style. Pick your category:

Hotel the first story is the saddest thing i had ever read.

Endo Hiroki Tanpenshuu this mangaka invoke 'melancholy' just from the stark, dry art.

Flowers of Evil if you dont mind incest

G Senjou Heaven's Door this show one shouldnt drive one's life for revenge.

Bradherley no Basha this may be too much for you, but when you are ready you should go to this. you will appreciate your life much more knowing that the evils of men never touch you.

Swweeet have very broken characters, dont know if you will like it.

Hakushaku Cain Series it is episodic, but every one of them have some sort of tragedy behind it. there is a central plot, which also dont end too well.

sorry if they are not what you want, some of them i had read quite long ago, and maybe the level of 'matureness' is not what i imagined. well, just try them!