When did we start getting these sort of gloomy first-person urban protagonists?

It's definitely before the 20th century, an early example I can think of would be many of Dostoevksy's characters. Gloomy men who live in the city and just have this sort of nihilistic attitude yet continue to toil away and deal with life in the city.

I guess third-person would be relatively fine, but something that just captures the profundity of a man or woman living the city life that seems remarkably pessimistic and gloomy.

Maybe we can say Goethe tinkers with this idea a little bit but it's never really very developed, and Victor Hugo despite his immense success only features some of this element. His novels are more so panoramic epics.

Furthermore what really leads us into this style? This gloomy modernity which today we have many examples. These sort of misunderstood protagonists dealing with modern life.