THE ALGEA were the personified spirits (daimones) of pain and suffering--body and mind--, grief, sorrow and distress. They were the bringers of weeping and tears. The Algea were related to Oizys, the milder spirit of misery and sadness, and Penthos, the god of mourning and lamentation.
In Greek mythology, Oizys (/ˈoʊɪzɪs/; Ancient Greek: Ὀϊζύς) is the goddess of misery, anxiety, grief, and depression. She is the daughter of Nyx, the goddess of night and the twin of the god Momos. Her Latin name is Miseria, from which the English word 'misery' is derived. She is also the younger sister of the Greek personification of the day, Hemera. She is a minor goddess without a great cult following, but a primordial goddess of misery and depression with a certain amount of mythological weight nonetheless.
Sorry, I can search my Egyptian and Roman books, but they tend to have Gods more associated in pleasure. The best names to look up are Hades - as he was the soul guarder and made many deals for the lives during his ownership.
In Egyptian lore look up high priests as they had access to the book of the dead. The only God Osiris. He was master of the underworld.
Other than that we have the african demons like the Tikoloshe and in some cultures the bogeyman.
There was a movie called the babadook. Which was a monster made from grief. But legend and myth are not it's source.