Twilight, upon realizing that her world is a simulation and that she can't trust anything she knows to be real, has an emotional breakdown and needs to literally hold onto Shepard for support.
Twilight and Celestia share a tearful goodbye in the Harmony Core chamber, moments before the Awaken Protocol is to be launched. When Twilight is momentarily distracted by the control console, the Princess turns, walking away as her hologram projection fades to nothing. Her last words are: "Goodbye, my little pony."
Despite Shepard and Twilight's success in rescuing all of the Equestrians, Granny Smith dies soon afterward because she is simply too old and frail to survive for long outside the tanks that held their physical bodies.
Just the fact that the Equestrians were ripped out of a happy, peaceful life and were suddenly thrust into the frequently harsh and demanding galaxy of Mass Effect with little more than enough general information to get by suddenly jammed into their heads. Not to mention suddenly waking up and finding that some of the friends, family and neighbors that you grew up with your entire life were nothing more than programs.
Shades of Twilight:
The schism between Twilight and Applejack over the latter's abduction of Dr. Hern from the hospital. Applejack accuses Twilight of betraying her when Twilight insists on informing Lt. Pyres of the situation, and though she tries to apologize after both Twilight and Pyres do everything they can to protect both her and Patricia, she's burned so many bridges with her behavior that Twilight just gives her the cold shoulder.
Which according to the Equestrian Codex, like the Amish, is considered one of the worst punishment one can face within the Herd, imprisonment being just adding salt to the wound.
The aftermath of this. Rainbow Dash is fully aware that she failed everyone. It's also clear she'll likely never fully recover her flight, if at all, meaning she's lost her most vaulebule, defining trait. She clearly at her lowest and while she gets better emotionally, it's still a damper on an otherwise happy ending.