While Bambi and Fox and the Hound are understandably sad films, my vote here actually goes to Fantasia, when Chernabog completely fucks everything over near the end of the film before the bell rings, sending him back.
It was quite a powerful, anarchic scene (Fantasia was one of the first Disney films I actively remember watching) where you really felt sad with a brilliant sense of helplessness for all the animals (even if they are somewhat demonic in art design) that were being tortured, and eventually burned alive.
Disney needs more badass characters like Chernabog.
Am also adding the Little Mermaid to this list, because that's a brilliantly emotional scene when Triton transforms Ariel into something he knows she wants, even if it means actively losing her.