I'm reading Suite Francaise, which I think is excellent but depressing--like everything I read. I'm taking advantage of vacation to try to satisfy my love of depressing historical fiction, preferably about wars. I'm a historian and a grad student so you'd think I wouldn't want to read about the Second World War in my free time but...
Of course, if anyone has suggestions for historical fiction, I'm always running out of titles to look for.
Have you tried Sebastian Faulks? I'm thinking
Charlotte Gray and
The Girl at the Lion d'Or.
Birdsong is supposed to be very good as well. I don't know if they'll fulfill your depressing criteria - but they aren't exactly cheerful either. I found them to be very....quiet books I'd say.
Or you could try Pat Barker's Regeneration triology. I'm listening to
Regeneration just now. Okay, come to think of it, this is WW1 actually, but Seigfried Sasson and a bunch of shell-shocked soldiers in a mental health facility should toss up a lot of angst.

For how WW2 affected upper class English family you can try the
Cazalet Family Chronicles. I really liked them, although some parts were a little bit dull. Still, I thought they evoked an interesting period of time and I got to like the characters.