Very early in the game one of the main characters possesses a wolf companion that is declining in health. We see the wolf comforted by the character before its life fades. Was quite a sad and very real scene of losing a pet.
*potential spoilers* during the third mask collection story quest “Unlocking the Mask” you’ll come to an open area, Thor will say he has to do something before smashing a wall to progress, he proceeds to vom.
The side-quest "Across the Nine Realms" tells the story of a gay couple who travelled together and have now passed away (without specifying how). Nothing is shown on-screen and it is handled respectfully.
Not on screen, but there are several references to the myth of Odin hanging himself from Yggdrasil for nine days and nine nights, including the noose he used being used as a weapon against him.
Not physically abusive, but Thor is an alcoholic, and this causes strife for his daughter, Thrud.
Secondly, there is a callback to the previous game where Thor beat his son Modi within an inch of his life.
Thirdly, Odin is very manipulative and verbally abusive towards Thor, eventually killing him when Thor refuses to kill Kratos.
Odin is defeated but Brok and Freyr are dead, Sindri is left a broken man and Thor is killed by Odin right after deciding to turn around for the better. Artreus and Kratos go their seperate ways but this is more bittersweet than outright sad compared to everything else previously mentioned.
After returning from Ironwood, Artreus tries to enter a mystical portal only for Kratos to menacingly appear out of nowhere from the portal to confront Artreus. No loud noise is played, however his sinister and sudden appearance are enough to make you jump.
It’s revealed Brok is technically half-dead, he was resurrected by Sindri by stealing back his soul from the lake of souls, however he could only get back 3/4’s of his soul. Several side quests involve you helping more traditional ghosts before they pass on to the afterlife.