Yeah, Moorcock's bastable series is certainly at least a strong precursor to steampunk. Moorcock doesn't get enough respect, his canon is wide and varied yet virtually all interconnected. He practically invented the multiverse! Most of his stuff is fantasy, though he's written his fair share of scifi, such as the Dancers At The End Of Time series. That series is depressing, at least in setting, as it involves a few all powerful humans entertaining themselves until the end of time, which is forthcoming. The plotline itself is, of course, a direct refutation of said setting.
Vonnegut's Player Piano was depressing. Battle Royale while depressing enough, probably misses the list being not quite scifi. Stephen King's The Long Walk is the same, it obviously takes place in the future, but nothing sciencey comes up. Heinlein's To Sail Beyond The Sunset made me depressed, but it was just because it was so horrible a book half full of incest. His Farnham's Freehold is often maligned for being racist and sexist, but it's also depressing too! I actually really liked that book.
Haldeman's All My Sins Remembered is a certainly qualifies as depressing scifi, sort of like a Remains Of The Day but instead of a butler, he's an intergalactic secret agent. I found Downbelow Station depressingly bad, but Cherryh has a huge following, so it works for some people.
I'm not really all that well read in scifi, that was some stuff that jumped out in my head. I've got a copy of Lucifer's Hammer, and that looks pretty depressing, I gather it's roughly The Stand skewed scifi.
