Yes, Bambi is an utterly depressing story. Most original material Disney adapted was bleakier and more grisly than the adaptation. Most of the tales collected by brothers Grimm would today be horror stories. (Did you know that Cinderella's evil stepsisters had their toes and heels cut off so they could fit in the slippers? Or that the ravens pecked their eyes as punishment? Or that Maleficent ends up in a boiling cau…
Many of the Grimm tales in their original form were also somewhat bizarre or surreal. I agree with you, but sometimes think the Disney versions were crafted as they were in part just to make sense as much as anything.
There’s a theory that Hansel and Grettel represents a cultural memory of a time of famine where children were abandoned, left to starve.