Unless your tear ducts are sealed closed with Titan crystals, you're not going to be able to watch Attack on Titan without crying. One of the things that makes the series so devastating is that nearly everyone has a tragic backstory.
It's hard to say which character has the saddest AoT backstory. Is it Levi, whose earliest memories involve starving next to his mother's decaying body? Is it Ymir, who was brought off the streets by a cult and then punished by being transformed into a mindless Titan for events beyond her control? Is it Reiner, who was pressured into being a Warrior in the vain hope of saving his family?
Your picks for the most tragic AoT characters likely depends on what you find the most personally relatable or upsetting, so everyone's answer is going to be different. But no matter which story you find the most miserable, they're all examples of tragedy.