The most depressing albums for me are the following:
My Dying Bride: The Darkest Hours - from start to finish, this is a slab of misery. There is literally nothing jovial about this album, and Aaron sounds his best.
Drudkh: Blood in our Wells - it took a while to get into this album, but once I did I fell in love with the melancholic black metal riffing. "Solitude" is a fantastic song, it just drains the positive energy out of you!
Sentenced: The Funeral Album - there are uplifting parts to this album, but overall it is miserable. Her Last 5 Minutes will bring a tear to your eye for sure.
Katatonia: Viva Emptiness - this album is a grower and boy is it bleak. The guitar sound is so fitting to this album: melancholic and drifting. And the singing just lulls you to a depressed darkness.
Poisonblack: Of Rust and Bones - this is my go to album for being miserable. "Invisible" alone on this album hits the mark. Again, there are a few uplifting songs to temper the darkness, but songs like "Alone" and "Buried Alive" just bring straight back down.
This is my short list, what's on yours? It would be good to see what other people recommend as well!