And the P3 cast's problems were A LOT deeper than P4's. That means MUCH stronger shadows.
If something as simple as not wanting to run your family's business could make something like Shadow Yukiko, imagine what could result from a bunch of people who lost their parents to the shadows and such.
Well:
Yosuke: Bored of country life, ridiculed for being son of massive business thats putting everyone else out of business, lost Saki who he really liked (almost loved) then she died because lol Adachi so he actually feels the pain of the case he worked on. Then after she died, found out she didn't like him back, so that just made it worse.
Yukiko: No family business for her, feels like she is being caged but also afraid to leave everything she's ever known.
Kanji: Afraid of being rejected because of his feminine tendencies, slightly gender curious as a result (note that him being questionably gay was NOT his main problem)
Rise: Sick of putting on a happy face for her fans and has lost touch with who she really is.
Naoto: Same thing really, but with a "cool male" persona to try to compensate for being a schoolgirl. Tired of being treated like a kid all the time by adults.
Teddie: The fact that he is a Shadow haunts him and makes him question his existence, or if he even has one (I think this is the most serious out of the Investigation Team).
With P3 chars in P4A it's:
Mitsuru: Feeling guilty for her family's past crimes, also feels that she cannot trust anyone to do anything for her out of fear of losing them (same as not believing in anyone).
Akihiko: Lost his little sis Miki, so he trains to forget the pain of losing people. He does it non stop to dull the fact that he is afraid of losing someone ever again (also, DID YOU SEE THAT SHINJI)
Aigis: Like Teddie, she questions what she is doing trying to be human. The fact that she is "just a machine" bothers and stresses her out, even though she tries her best to fit in.
Fuuka: I honestly have no idea what her problem is. Somebody know this?
Yukari: Lost her father in the Kirijo Death Experiments, and that turned her mom into a whirlwind of dating different men, leaving her daughter in the dust (so emotionally losing her mother too). I think she has the biggest problem in the P3 cast.
Junpei: Insecure and not confident in himself, so he is jealous of others that aren't these things, tries to act like a hero so he can feel good.
It seems the P4 cast is more "fuck who am I" while Yosuke and two of the P3 cast is "why am I losing everyone, this sucks". It really ties in with the themes of the games what their problems are.
P4: Self conflict
P3: Accepting death/life
As to which group is more sad, I'd probably agree saying its the P3 cast but the problems in the Investigation Team aren't a walk in the park, either.