I've learnt gymnopedie no 1 and I'm currently learning nocturne op 9 no 2 by Frederic Chopin, thats not slow throughout but sounds depressive, though perhaps that just how people feel when they have to put up with me playing it.

Any recommendations for some slow depressive pieces? I'm listening to the complete works of Frederic Chopin so im keeping an ear out myself for some slow depressive ones.

Moonlight Sonata by Beethoven?
No wait that's mine. Don't do Beethoven, he's mine
Albinoni's Adagio
Elgar's Cello Concerto in E minor, Opus 85 (good luck though)
Faure's Pavane Opus no. 50
Bits of Mozart's Requiem (Introitus, Lacrymosa)
Holst's Neptune - The Mystic

None of these are for guitar, but they're pretty sad.