ROTS is definitely the SW-movie with the most tragic ending to me as well. The one who was supposed to be the hero turned on his family, his friends, his fellow Jedi, sided with the main villain. Hundreds of innocent and/or unsuspecting beings were slaughtered, with the main villain cackling and rubbing his hands gleefully while proclaiming a regime that would bring terror and suffering upon the galaxy for the next few decades. The good guys of the story being reduced to nothing but a couple of their members and forced to go into hiding while being defamed to the public and hunted down in the following years.
TESB and TLJ have dramatic final scenes as well but neither has such a shattering ending like ROTS, in my opinion