Queen Valerin being killed during the knighting ceremony just moments after Ballister is knighted, and she had just convinced the kingdom that he was worthy of being a hero.
What makes this worse is that even though Ballister and Nimona were able to clear his name and prove it was the Director who swapped out his sword, the Queen still died believing the man that she spent many years raising up to be a hero betrayed her in the end.
Ambrosius leading the hunt for Ballister. Admittedly, it's partially because he wants to take Ballister in without hurting him (unlike Todd), but it still clearly hurts Ballister to see the love of his life hunting him like that. The worst comes when Ballister finally gets to talk to Ambrosius and begs him to trust him... and Ambrosius levels his sword at Ballister. The look on Ballister's face is devastating.
Ballister is devastated to learn that the Director was the one to frame him, having apparently trusted her and believed she was on his side as he proved himself worthy of being a knight.
After Nimona saves a little girl from being hit by a bus while shapeshifting into a dragon, she shifts down to a younger form of herself closer to the girl's age. The girl responds by picking up a sword and calling Nimona a monster. This hurts Nimona so much that she expresses to Ballister later just how hard it is for people to see her that way.
Nimona: Did you see the way that little girl looked at me? Kids. Little kids. They grow up believing that they can be a hero if they drive a sword into the heart of anything different... And I'm the monster? I don't know what's scarier. That everyone in the kingdom wants to run a sword through my heart... or that sometimes I just wanna let 'em.
The flashback of Nimona's backstory. She lived in the wild and tried to make friends with other animals by shapeshifting into them, but they would always run away from her. Then she saw a young human girl, and became best friends with her, with the girl even admiring her shapeshifting abilities. But the girl's parents and the rest of the villagers said Nimona was a monster, coming at her with torches and pitchforks, which provoke her into turning into beastly creatures to scare them off. The other little girl, who is revealed to be Gloreth, picked up a wooden sword lying on the ground, pointed it at Nimona, and told her, "Go back to the shadows from whence you came."
Nimona nearly committing suicide. After she stomps through the city in her monster form, she comes to the statue of Gloreth in the middle of town after people have pelted her with rocks and the other knights have tried to shoot her down. She opens her chest to expose her heart, preparing to run herself through Gloreth's sword, until Ballister shows up in time to talk her down.
Listen carefully to the roars Nimona makes in her Kaiju form. While some of them are normal roars, some of them have Nimona's normal voice screaming in pain and sorrow - including the one when she's just about to plunge herself on the upraised sword of Gloreth's statue.
Notice that even in her kaiju form, Nimona never makes any attempt to hurt anyone. All of the damage done to the city is a result of the knights attacking her. Even at her lowest point, she's not the monster that everyone thinks she is, yet nobody sees it.
Nimona smashing an electronic screen displaying a commercial for a board game that involves killing monsters, with a little boy happily announcing, "I killed a monster!" and a little girl saying, "I killed two!" An entire civilization was founded on the incident where Nimona was betrayed by her only friend and vilified as a monster only deserving of death, so much that it's become an integral part of their society.
When Nimona is moved by Ballister's words and turns back to herself, she looks like she's been through a war, sporting burn wounds on her face, arm, and both legs. And she's such in a vulnerable state that she can barely stand, stumbling into Ballister's arms and starting to sob. After watching her be so cocky, lovably silly and unshakably confident the whole movie, seeing her like this really hurts to watch.
Before that, after Ballister stops her from committing suicide, it took several seconds for her to master up the courage to look at him, as she couldn’t process what just happened.
Nimona subsequently going phoenix to destroy the Director’s cannon is a real punch-in-the heartstrings-and-gut moment, especially the aftermath when Ballister looks forlornly at the red sparks that she was seemingly reduced to, his face falling further when the last of these sparks fades in his hand before Ambrosius arrives to offer him a shoulder to cry into. It's then followed by a happier one with a short Time Skip showing Nimona being memorialized as a hero, which is then followed by the reveal that she managed to survive, greeting an overjoyed Ballister off-screen with a simple, "Hey Boss."
The credits are stylized as newspaper clippings with Nimona’s drawings all over them. The statue of Gloreth appears twice; the first time with the phrase "If you see something slay something" edited to say "see me" with Nimona also writing “my old friend” next to it with an arrow pointing towards it, and the second time she doodles little hearts all over it as well as the words “my friend” and “love is love.” It’s cute out of context, but also provides a lot more depth to the previous scenes; despite the betrayal and all Gloreth put her through, a part of Nimona still misses what they used to have. It also could imply that Nimona’s feelings towards Gloreth were more than platonic, as her backstory could easily be read as an allegory to coming out and being ostracized by both your peers (including those who may have initially been accepting, but were negatively influenced by their families) as well as the people you care about most as a result.
This also suggests a potential reason for why Nimona never left the Kingdom despite having to deal with a thousand years of fear and hatred directed at her, she still loves Gloreth and couldn't bring herself to leave her old friend behind, even long after Gloreth's death and the fact that she got left behind herself.
Outside the film's narrative, seeing all the names credited under "Blue Sky Studios", with little nondescriptnuts floating around them, is quite sad when you know about the film's production and its original ill-fated studio. This is likely the last time we'll ever see this name, and this touching tribute is also a reminder of their unfair dissolution by Disney.
