Depends what you mean by depressing. But Lavender Town was for me since it was designed to be spooky and full of ghosts

If we’re talking strictly the games, just a about any place from gens 8 and 9 because they’re either sparsely populated in a way makes them way too hollow, boring, and pathetic, or you can’t even interact with what little NPCs or majority of the buildings that are in the town, which leads to the same problems. To me that’s more depressing than any lore could ever build for a town.

Though, that’s only my opinion, as I would much rather prefer things like gen 1-4 where every single city/town you can enter just about every single building and talk to the NPCs and they’ll have a line or two of unique dialogue that really helps me feel like the world is lived in by people and not NPCs.

Ever Grande city was a huge disappointment, just a pokemon center and the elite four.

Lavender Town is more creepy.

Ecruteak is kind of depressing with the Burned Tower, but that’s always got a happy ending.

I’m always depressed when I have to go into Lumiose City since it’s giant and annoying to navigate without using Taxis.

The area around Fallarbor Town is one of my favorites, but the town is lame.

The most interesting thing there is the guy who teaches Roar

I don’t count the glass flute guy as in the town lol

I can’t think of the name off hand. But in gen 2 there was a town that burned down? Memory seems a bit fuzzy here. But I’d vote that

Oreburgh City.

It’s all dirt and industry.