Apple Bloom almost going through the Despair Event Horizon, after her plan to stop Equestria's enemies fails miserably.
Celestia realizing how badly the war is going and deciding to personally intervene, before finally giving Luna a chance to prove herself. note And telling her rather bluntly that if she wants respect, this is where she has to earn it now The whole scene, has a surprisingly depressing and serious atmosphere around it.
Episode 23 is a tragic episode for the Apple family. They receive a message saying that the Apple siblings' mom died. The Apple siblings' mom abandoned the family when Applejack was only 10 years old and that she said that she would only return if there weren't anymore apples, which resulted in Applejack's deluding herself into thinking she was farming mangoes instead of apples. According to Granny Smith, she wasn't referring to the fruit. After Apple Bloom was born, she felt like she was set up, as Granny Smith named their mom 'General Builder' and Celestia took Apple Bloom to a military academy to become a general.
The Mane Six going their separate ways in Episode 26. While they are moving on to new and better things, it's still sad to see them split apart.
There's also the end of Twilight's character arc. After spending the entire series adjusting and adapting to her life in Ponyville, she's left with nothing except the library and Applejack in a changed Equestria with no idea of what to do next.
In the epilogue, Spike returns from the Badlands and clearly had a bad experience there. He's become completely disillusioned with the place, and has decided that "nothing's changed" from his past.
