Edith Wharton (1862 – 1937)
If you’ve never read her work, happy endings were not her style. House of Mirth, The Age of Innocence, Ethan Frome — the only ones I’ve read — are beautifully written and tragic to the point of cruelty (for the protagonist and the reader).
Even so, I can recommend her more readily than say, Thomas Hardy. (Jude the Obscure nearly killed me.)