Homura: A time traveler who went to the past thousands of time to save Madoka from dying.
However, she ends up giving her a fate way worse than dying. She has to eternally watch over this world as a God devoid of emotion, alone, in a world where no one aside from Homura remembers her.
In such a world, Homura is so suicidal and at her wit's end that she starts to doubt her sanity, and she eventually becomes a witch just to meet Madoka again.

Kyouko: A young girl who wished for nothing but her family's happiness, but ended up leading her dad to commit a forced suicide, killing all her family. From there on, the immense pain and regret she shouldered made her decide not to ever use her powers for someone's sake. If she used it only for her own sake, no one other than her would suffer, and she wouldn't repeat her past mistake.

Sayaka: In exchange for her healing her first love's hand, she obtained a dead body that can't reciprocate love and affection. Put under that crashing reality, she came to the conclusion that she was already "dead" as a human, and that the only thing remaining for her was to fight till her soul is destroyed. Trying to cling to the "ally of justice" moral, she pushed herself to her limits and became a witch.

Amidst all that, you have Kyouko, who went through something similar, and who knows what it feels like to be in Sayaka's position. However, unable to convince her, she was forced to watch her friend descend into madness and eventually destroy herself. Regretting her mistake of not saving her friend who walked the same path she once did, she decided to offer her life in exchange for exorcising the witch her friend turned into, all so that Sayaka wouldn't be "alone", because she knew that she was a coward at her core, and that her "ally of justice" facade was just to hide that.
And then you get ending song:

(Sayaka): _When the bluff of false courage in my voice began to falter, the dream began to end Holding my knees, when my vision fades, I know I'll quickly collapse_. (Duet): _I’ll call out your name again and again Even if the future is uncertain My heart aches at just thinking about someone who I can’t let go I’m here I’m here The place you’ll come home to is here, okay?_

Even though we know that Kyouko can't swim, she doesn't show it. Instead, with a peaceful look on her face, she just accepts her fate and hugs her friend so they never get separated again...

However, what we get to know in Rebellion is that not only Kyouko thought dearly of Sayaka, but Sayaka also regretted leaving Kyouko alone, after she went out of her way to save her from Homura (yes we're talking about Kyouko, the girl who doesn't use her power for others). And then you have this wonderful scene :

_I thought I didn't have any regrets when I died. But the reason I ended up taking this assignement and coming back is that I actually had one regret: Leaving you behind, Kyoko._

And then from Homura's side, you have the flowers field scene with Madoka. There, Homura gets to hear Madoka's real feelings, and she realizes that she didn't really want to become a God, and her fears are confirmed: "Letting Madoka shoulder all the responsibility was a mistake".
In Madoka's character song, she says:

_Saying, "See you later," I wave my hand
Cracking a smile, yet I'm feeling lonely
The truth is, I still have more to talk about
But with the words "See you later"
I say we'll meet again, but it's a lie
and with my usual smile, I say
"See you tomorrow"_
*******
_I'm pretending that I'm used to being alone
But I'm not really that strong_
*******
_Instead of "See you later"
I should've said, "I'll stay for a little longer"
I wanted and hoped that you would realize it
But with the words "See you later"
I lie to myself again
And hide my true feelings beneath my usual smile_

This leads us directly to the last twist of the story. Where Madoka finally reaches out for Homura to purify her soul gem, but Homura pulls her hand instead of grabbing it, and decides to undo her mistake, or at least to save her the only way she could. She splits God Madoka in half, and rewrites the universe in a way so that Madoka, the average schoolgirl can exist, separated from the God Madoka. If anything, she was able to save that Madoka from her fate. However, in exchange for that, Homura has to shoulder an equal, or even greater amount of curses to what Madoka was dealing with, and so she becomes the Demon of this world.
In the last scene, Homura represses Madoka's memories, but Madoka declares that she treasures this world over her own desires, which means that eventually, she would have to stand against Homura, and that it's only a matter of time before that happens. Having understood that, Homura gives her back her ribbon, and sinks even deeper into darkness, realizing that her only wish is truly an impossible one to grant, even for a Demon who gained power equal to a God: Madoka cannot be saved

An end where everything was sacrificed and no one was saved, that's PMMM's conclusion... And well, the end result aside, the whole thing was a lost cause from the very beginning. The girls' struggles were all in vein, and had no chance of saving anyone to begin with. If that's not the most depressing story I've ever read, I honestly don't know what is.
Part of Urobochi's genius lies in the fact that he was able to create a masterpiece out of a completely hopeless situation, all the while keeping the audience at the edge of their seats, and even giving them false glimmers of hope at times.

For toying with my emotions in such a brilliant way, and for everything I said earlier, I'll rate this movie a 100/100.