"Saddest" is complicated since sadness is objective but I personally think that Emiya Shirou's pasf, life and oftentimes future in Fate/Stay Night are really damn sad, specially because it's a pretty damn tragic representation of PTSD and everything.

Dude first lost everything as a child in the Fuyuki Fire, basically a giant fired that burned over a hundred buildings and killed even more people, he lost his entire life, family and even his own identity, the VN specially says that at that moment he essentially died, but before dying he ran as fast as he could, he ignored the people screaming for help and ran for his own survival, he heard mothers pleading for her children to be carried, people trapped and burning to death pleaded for help, to be saved, every scream being like a knife stabbing Shirou's chest, but he couldn't save them, he only ran in desperation wishing for his own salvation, and sure enough he got that, before his body died he was rescued by a mage, a passing sad and immature man who took way too long to really grow up, he used the last remnants of a miracle to save this child, the only person he could save after be made so so many mistakes, and by saving this child be saved himself, Shirou saw the happiness in this man's face and envied it, after losing everything he envied the happiness that this man experienced by saving him, he admired it.

Shirou then spent his childhood and adolescence as a husk of a person, empty inside with no identity of his own, he remembered his previous life and oftentimes went to the place where his burnt house once stood, walked through the door that doesn't exist anymore, smiled at his mother that wasn't there anymore, he desperately wished to go back to his previous life, but that did not happen and he eventually accepted reality, he sealed those memories and thought that he was already dead, still the voices from that day haunted him, the screams for help, he had to remember every single one of them, the screaming of people who couldn't have their wish granted, he had to remember them so that the people who died there wouldn't disappear, it was only natural for him that he would take on their deaths, apologizing would be an easy solution so he never did so, he spent his early life believing himself to not deserve happiness because of that, he found happiness by helping people in what's essentially a coping mechanism, he looked up to the mage who saved him, now his adopted father, and admired him, he couldn't save anyone nor bring himself happiness so he looked up to the person who could do so, he admired him, his ideals, his father believed himself to not be able to be a hero since at one point you have to stop and grow up, but Shirou then decided that if his father couldn't do it then he would become one, he took his ideals and held them to his heart, he decided to become a Hero of Justice who could save anyone, without knowing that this would be his curse, a hero can only help after the tragedy has already happened, they can only make the ones who caused this to atone for their sins, a superhero can't save anyone, they can't undo the tragedies.

Shirou fought in the Fuyuki Grail War, which is basically the main storyline of the VN, but besides that let's take a look at his future, his Fate.

After fighting in the Fuyuki Grail War he goes on to travel around the world helping people, being a hero in one way or another, he kept deceiving himself with a mind of steel, he helped several people but killed several ones too, at one point he reached a limit, there was only so much he could do as a human, only so much he could do with the power he was born and raised with, with more power he could save more people, so he accepted to make a deal with Alaya, the collective unconsciousness of humanity and the will of the people to survive, Alaya would empower him and he would be a hero, in exchange after his death he would travel across time fighting against the things that threaten the world, basically be a hero, Shirou keeps going with the power he was given but eventually he is accused of causing an incident, used as an scapegoat and executed.

But Shirou doesn't get to have the peace that comes with death, his soul was removed and put into the Throne of Heroes as a Counter Guardian, essentially a time traveling hitman, to be used to deal with threats to the world, but he then saw the countless slaughter, tragedies and death, a hero can only deal with the tragedies after they already happened, he can't stop them, he'll be forced to experience this until the end of the world, in every timeline, universe, he'll always be there, not only him but multiple alternative versions of him too, in the words of Rin Tohsaka:

"The boy who stated that he just doesn't want to see anyone cry...could only see crying humans forever."

So basically the game also deals with that, how he changes depending on the timelines and stuff, and in Fate and UBW be goes on to do the exact same thing but with some differences this time, in Fate after searching endlessly he eventually reaches Avalon and reunites with the love of his life, finally getting some rest after everything, in UBW he does the same but now with no regrets, but in HF he finally decides to pursue his own happiness and live with those close to him...either that or he dies sacrificing himself, or dies fighting with a corrupted heroine who always helped him previously, or then goes on to persist on being a hero and doing the exact same thing but like on turbo mode this time, fun times!