A much more depressing book recommended to me by my friend Daniel is Night by Elie Wiesel. Night is hard to classify. It is, at base, an artistic portrayal of the time Wiesel spent in German concentration camps toward the end of the Second World War. It's not quite memoir or autobiography, but it certainly isn't at the other end of the spectrum in the historical fiction category. The author called it a deposition. Regardless of what you call it, it's powerful. It begins with the Jews being expelled to ghettos but largely living in denial, much like the rest of the world, about the danger and horrors that the Nazis have in store. You then follow him and his father as they are moved to concentration camps and subjected to the horrors within.
I won't go into more detail here. I feel like they should be experienced through the author's words. It's not a long read, about a hundred pages. I would recommend it. The author eventually made Night part of a trilogy, with two other works which were eventually titled Dawn and Day. These do not suffer the categorization problems of Night. They are historical fiction and portray Holocaust survivors trying to move on with their lives. While they were interesting, they didn't captivate me the way that Night did.