Sorry for late late reply. I forgot this list even existed 

Most saddest stories I have read has a depressed protagonist or a protagonist with deep regret. They usually affect me, that I have to step back for a moment before continuing to read. 

Example for depressed protagonist:

-I’m a Villainess, Can I Die?-

 The Ugly Wife of the Shady Duke

-A Painting of the Villainess as a Young Lady

-Untouchable Lady

-Limited Extra Time

Has deep regrets:

-The Wolf Lord’s Lady

-Gomen ne, Onii-sama

-Ballad of Ten Thousand Gu

-One Night, One Day, One Year, One Lifetime

-Unrepentant

Or you can cry several times with this stories with death

-Quick Transmigration System: Male God, Come Here

-Three Lifetimes of Trials; A Wind Chime Brings Tears

-By The River of Forgetfulness for Seven Lifetimes

-Seven Lifetimes

-Sansheng, Wangchuan Wu Shang

-Seven Unfortunate Lifetimes, All Thanks to a Single Moment of Impulse

I can't just pick few novels. You probably know at this point that I'm a crybaby