I think this is a result of being an introvert and not connecting with the real world enough. I have this thing that's been bothering me for a long time now. I hope you all don't think I'm weird for it But I have this sort of mental… barrier I guess? Where I identify so much with a character that if something bad happens in their life I relate it to when a very similar bad thing happened to me and I become depressed. I don't know, it's strange. A lot of my friends also will also tell me "you are this character". And I get what they're saying. That I resemble that character. But some take it too far (hard to explain how) and when I tell them "look I get that you're probably just joking, but I'd like it if you'd stop" they don't respect that. I don't want to be X character or associated with X character, I just want to be me, you know, a real person. Why is that too much to ask? I am an introvert and it's hard for me to actually get out there and be bothered to talk to people but I am trying to do more about that and build up my confidence. Sorry if this is a rather odd question, I am just really frustrated about it. More frustrated about me being an introvert, I guess.
Maybe you should try some lighter fare where terrible things don't happen to characters. If it's actually depressing you and effecting your mental health, ease off that stuff.