Shortest one first: The fact that every transformation mask you get in MM you get when the real individual dies infront of you.
You then proceed to impersonate them by wearing their faces, and go around bringing hope to their families and loved ones.
Worst of these was the Zora; Mikaku. Since his girlfriend was so happy he was back, and they were having kids and everything. And she was completely unaware that he was already dead.
For the long one:
If you really analyze the story of Ocarina of Time and Majora's Mask, in respect to the main character. The whole series is pretty much a giant downer, filled to the brim with depressing, depressing sacrifice.
Link is a boy, who is essentially thrust into the role of hero against his will. Having found out he doesn't belong with the people he grew up with, he is forced to leave his home.
On his travels he makes a bunch of friends, meets lots of people, a fish falls in love with him, the goron chief makes him his brother, etc. etc.
Then he gets the Master Sword, and grows up. Now at this point, the entire land is more or less on fire. Everything has gone to hell.
This is where the depressing parts start.
He now has to go through every temple, fighting constantly, without respite. And every single time, he is always just a moment too slow. And someone he knew and, probably, cared about has already gone in before him.
And guess what. They're dead.
All of them. Saria, Darunia, Ruto, Impa, Nabooru. Link wasn't fast enough to save them. They all tried to do his job for him, and they all died.
Now, that means he would have to live with the knowledge that if he had done things just a little differently, they would have lived.
Because it's not like he's a few days late. When you're in the fire temple, Darunia enters the boss chamber just moments before you do, but once you get there, he's already gone.
So Link pushes on, goes through Ganondorf's Castle, defeats Ganondorf, and then Ganon.
And what happens? He is returned to the past.
Now he's a child again, and the only one who remembers that any of this ever happened.
Imagine the PTSD he has to be suffering from. Knowing what he knows, having seen what he's seen. And if he told anyone they wouldn't believe him.
Not that it matters, because no one even knows who he is anymore. His entire life since he left the Kokiri forest has been completely erased.
He's the only one who remembers any of it. Or rather, one of the only two people who remembers.
Who is the other one? Navi.
His best friend, who out of jealousy of his relationship with Zelda, leaves right afterwards.
The only one who could understand what he's been through, just up and leaves.
Enter Majora's Mask.
The entire plot of this game is based around Link, who after saving Hyrule realizes that there's nothing left for him there, and leaves forever to go find Navi again.
This is where all the depressing things of Majora's Mask hit. From the death masks, to the heaven-esque landscape inside the moon, and all the sidequests like one for Anju and Kafei.
And at the end of all of this, what has he accomplished? How much closer is he to his goal of finding Navi?
Not a single fucking step.
He has saved the world again, and he has gone through hell again, and there's nothing in it for him. Just more death and misery, just more of other people's problems piled onto his shoulders against his will.
And the series end with him riding off again, still searching for Navi.
That is the most depressing fucking thing I have ever played, read, seen, or heard of in my entire life.