Wait, so if you as a reader ends up becoming invested in the characters being tortured, wouldn't that make you more of a masochist?
If you're looking for some depressing character driven comics, I have a couple:
'Empty World' by Kuro
It is a very wapanese comic, not only is it set in Japan but the layout is right to left, but it's kinda depressing. The main character is high school student who is constantly abused, and traumatized by his father and other characters, who I believe is also developing some mental illness from it. At times it's a bit on the impractical side, but it's not too bad if you can turn your brain off.
'It's a Hard Life' by Qlock (This comic is Smackjeeves exclusive)
Unfortunately I am not up to date on this one, the author tends to update in bulks and I just didn't have the time to catch up, but I digress. This is a Pokemon fancomic about a girl going through pokemon and human deaths, homelessness, becoming a wanted criminal. The art isn't amazing, it's done with messy watercolour and sometimes it's hard to make some stuff out, but it fits with the bleak mood of the comic so you get used to it.
Lastly, not meaning to be one of those people, but there is also mine. 'Void'.
The first chapter is meant to be more of an introduction so not much is going on, but the comic afterwards is meant to be like a depressing melodrama. (Like 'Young and the Restless' but with darker subjects) Sort of a combination of physical, and psychological. Can't say it actually will be depressing, I tend to be rather facetious when faced with dark stories, and I can't say how relatable the characters will be. But eh, if you just want to see characters having a bad time, that's pretty much what it is.