I don't think I ever cried playing a video game, but I can think of three moments that almost got me. Spoilers, obviously.

1. Metal Gear Solid 3. Hearing how much The Boss had to sacrifice for a country that will forever hate her and remember her as a traitor.
2. Fighting the Hollow Knight and at some point it starts stabbing itself. The music changes from this epic battle theme to a tragic lonely little violin. It can barely even stand, yet is still forced to keep attacking. At this point it changes from a battle to assisted suicide.
3. Doki Doki Literature Club. Living with depression myself, I knew exactly how Sayori felt. I'm not even talking about THAT scene, but the day before.