This list contains personal points of view, it's perfectly fine if you don't agree with them. This list will contain possible spoilers if you haven't seen the episode/movie the moment is from.
#10. Serena losing her first Pokémon Performance in "A Showcase Debut"
Seeing as Serena trained really hard for the Pokémon Showcase her loss was pretty shocking and upsetting. What was even more upsetting was her emotional breakdown about the loss, and I'm surprised I didn't start bawling my own eyes out because I'm a very sensitive person so when I see something sad on TV I often end up in tears. Serena did very incredible dressing up Fennekin and made her look absolutely beautiful, however, perhaps if she had cut the bow more Fennekin might've had an easier time walking instead of accidentally tripping over the bow ruining Serena's beautiful and hard work. By the way, I'm not saying it was Serena's fault or Fennekin's fault.
#9 Dawn's back-to-back losses in the Harthome Contest and the Solaceon Contest
Dawn trained really hard for the Harthome City Contest and her appeal with Piplup and Pachirisu was absolutely incredible, so her not being able to move on was pretty disappointing. She did well in the Solaceon Contest as well, however she went overboard and the judges were unable to see Ambipom. Dawn tried her best to hide how upset she was about losing the Solaceon Contest, however Ash noticed Dawn's hands trembling and knew something was up causing him to feel sorry for her. It was upsetting to see Dawn look at the Ribbon her mom gave her for good luck having no idea what to do next and then break down into tears.
#8 May saying goodbye to Manaphy in "Pokémon Ranger and the Temple of the Sea"
During the course of the movie May and Manaphy grew close to each other because Manaphy believed May was his mother due to her being the first person he saw after her hatched. Them saying goodbye was a difficult moment for me to watch because I believe May should've caught Manaphy.
#7 Chimchar's emotional breakdown in "Tears for Fears"
Now we're getting into the moments that always make me cry when I watch them. I just feel so sorry for poor Chimchar and seeing him upset makes me upset. After all that time of being treated like garbage by that disgrace of Pokémon trainer, Paul (again this is an opinionated list and in my opinion Paul's a heartless, cruel, cold, inconsiderate, heartless jerk who should not be a Pokémon trainer), Chimchar was finally treated with the kindness and love he deserved and he begins sobbing because the transition is so overwhelming to him.
#6 Ash turning to stone in "Mewtwo Strikes Back"
Let's face it, this a moment that probably made A LOT
of fans cry. It's just devastating to see Ash turned to stone because he sacrificed himself to stop the fighting between Mew and Mewtwo.
#5 Pikachu and Piplup being heartbroken over leaving each other in "Memories Are Made of Bliss"
Probably why I always cry during this moment is because I can relate to their feelings. I switched schools in 8th grade, and when I switched I had leave behind my best friend in the entire world, Rosa, which was absolutely devastating for me. Piplup and Pikachu I feel your pain.
#4 Jessie releasing Dustox in "Crossing Paths"
This is a very sad moment because Jessie loves Dustox so much and she released her so she could raise a family. Well you what they say "When you love someone set them free."
#3 Jessie and James releasing Arbok and Weezing in "A Poached Ego"
This was very sad because Jessie was very close to Arbok and James was very close to Weezing.
#2 Ash attempting to release Pikachu in "Pikachu's Goodbye"
This was very sad and I cried my eyes out. I've only watched the episode once, but I regret ever watching it in the first place.
#1 Ash releasing Goodra in XY070
Here we are my opinion on the saddest moment in Pokémon history. I'm sure several people agree with me on this one. ASH RELEASING GOODRA WAS ABSOLUTELY DEVASTATING! I watched the episode twice in Japanese on www.animerush.tv once without the subtitles and once with them. I'm just going to skip the dub version because it's too heartbreaking. YOU WON'T EVER BE FORGOTTEN GOODRA, BUT YOU WILL ALWAYS BE MISSED!