Sure. 'A Little Princess' has some sad parts in its short story version. Sara Crewe goes from being a wealthy and pampered girl to a poor servant, facing many hardships. Also, 'Charlotte's Web' can be considered in a way. The thought of Charlotte's death at the end is quite sad for children. Then there is 'Bridge to Terabithia', where the sudden death of Leslie is a very sad event in the story.