Okay, so you're looking for those proper grim settings where the hero is clinging to decency by their fingernails, right? I've got a real soft spot for these. A classic is Joe Abercrombie's 'First Law' trilogy. The core hero, Logen Ninefingers, is a barbarian trying to be a better man in a world that just keeps punishing him for it. The North in those books is perpetually cold, muddy, and bloody.
On a weirder, more cosmic horror vibe, China Miéville's 'Perdido Street Station' fits. The city of New Crobuzon is a marvelously awful industrial-punk nightmare, all grime and weird science. The 'heroes' there are a bunch of outcasts trying to fix a catastrophic problem they partly caused.
If you want something more modern and punchy, 'The Poppy War' by R.F. Kuang absolutely does not pull its punches. The world is brutal, inspired by very real, dark historical periods, and the protagonist's journey from poverty to military academy to full-blown, morally compromised general is harrowing. It makes you question the whole concept of a hero by the end.