I always thought A Brave New World was the much better dystopic novel, which is a pretty depressing genre as a whole. The world portrayed in BNW was more real to me, and the writing was a lot better, in my opinion, approaching literary science fiction. For example, I really liked the use of The Tempest throughout. You could definitely make the argument that 1984 was more depressing because the writing was worse and the book was less interesting though (i.e., it was depressing to read, not just the content).
I don't know if The Magus by Fowles would exactly qualify as science fiction, but that was another book that was a great read in the same way (depressing yet very well written so that it was still enjoyable).
Then there are the more common great scifi books that are depressing because they are so good that you dont want them to end. I remember feeling this way at the end of Snow Crash.