Yuuki Yuuna wa Yuusha de Aru, Glass no Hana to Kowasu Sekai Recommendations
Both have magical girls who deal with tragedy. They face enemies but unsure exactly why. Starts out happy but deteriorates into misfortune. Not your average Magical Girl genre show.
Both anime have magical girls that enter different worlds, transform, and fight enemies. The main characters are not sure why they have to fight their enemies, but they still try their best to save their world. The storylines are darker and more dramatic than your average magical girl show.
Both have a cute side and a dark side.
Both have lots of unrevealed truths about the world in which our MCs live.
Both are mindfuck anime.