I had the same experience playing Telltale's Walking Dead game back in 2012, there aren't much of challenges (instead using your console you rather grab some popcorn because its more like an movie) and part 3 onwards the storyline got really depressing, which is every character you met dies on a most tragic way possible and the storyline was based on your decisions you make with your character so you should be feel guilty about it.
I can't stand horror-themed games (or movies for that matter), even games that have a minor "horror-component"... HALO 3 had a Flood (basically HALO's zombies) overload section which was the most depressing bit of videogaming I ever experienced. It wasn't fun, challenging or thrilling at all, it was just plain off-putting and depressing, hoping to make it from checkpoiint to checkpoint. There are a 1000 reasons one can play videogames but that Flood bit was the exact opposite of all those reasons combined
Sounds pretty depressing alright... There a way to save them or does the game let them die regardless of your choices, only in a less horrible way?