I think one of the most depressing books I have ever read is dark Matter by Michelle Paver. Set in 1937, a young man is part of an expedition in a remote, uninhabited Arctic bay. As the sun sets for months, he realizes he is not alone and that something is waiting in the dark.
This is not straightforward ghost story. One feels the sense of complete isolation and loneliness, but there is also a back story of the terrible cruelty and murder that can happen in remote places where there is no comeback. As the well known quote says. "where no-one can hear you scream."