Do you have some advice on how to evoke feeling of harshness in the setting without making it caricaturally grim or simply stingy with resources? Something like tolkienesque First Era Beleriand with inaccessible gods and great danger nearby but with less superpowered elves and less focus on nobility?
Do you prefer the source of despair to be magical? Mundane is grim in a way that is relatable to players as they draw comparisons to what they know is true IRL. A lot depends on scale of your setting, but:
Corrupt officials, imprisoned heros, weak minded leaders, etc can all flesh out the personality in the world without ever once going to the “it’s magic” well.
You can further embed those details in your descriptions. The tavern isn’t just a rowdy crowd - instead, locals still go there despite the last innkeeper being killed trying to break up a fight. You can still see the blood in the grain of the bar if you look closely enough. I wonder what will happen to his orphaned child, too.
If you do want it to be magical, something that prevents everyone from getting good sleep could be fun. That will quickly lead to people acting crazy and desperate but perhaps it’s not immediately known what’s causing it. Or alternately everyone knows what causes it, but is preventing so and so from doing anything about it.