I’m not sure I’ve seen it posted here, a little older, but the TellTale Walking Dead games are killer. You make full choices that affect your game later. Tons of fun, not a ton of action gameplay but the stories told are next level IMO
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"Passage" is a very short one. But the choices matter.
i'm gonna blatantly disregard your "but where the consequences actually matter" and recommend most of telltale's games (The Walking Dead and The Wolf Among Us are the better ones).
besides them and the suggestion of others i would also recommend Tyranny. great CRPG made by Obsidian.
I made the choice in GTA that let me continue the free roam unhindered despite it not being what was best in game.
Dragon Age, the original first one. Definitely no really happy endings there...
I'm going to go a little against the grain and recommend Fuga: Melodies of Steel and its sequel. It's not exactly what you described, but the game is very adept on forcing extremely difficult and impactful choices on you naturally through its gameplay.
Pathologic 2 - it's a really stressful game, but I think it'd be perfect for the criteria. The choices matter aspect are intertwined in both how you spend your time (it's limited and you can't be everywhere at once), and in quests (the more traditional choices, like pick A or B or C). Don't want to spoil any more but it's amazing, you don't need to play the original.
Besides it, I've also heard good things from Pathfinder: Wrath of the Righteous, though I haven't played it personally.
War hospital puts you in charge of a WW1 medical camp trying to allocate limited surgeons, nurses, medical supplies as people come in injured from the front line.
I thought Thromebreaker: The Witcher Tales had some extremely tough ones. They also heavily effect your gameplay in that many times they add or remove a character from your party. I had built a deck in that game that relied heavily on a character. That character then did something morally reprehensible and I decided to banish them. That removed them from my deck, too, so I had to come up with a new strategy after that.
Fun game if you can get into it. Almost every choice is extremely morally gray and often feels like there is no good choice at all.
Sometimes Always Monsters
[off topic]
Daemon by Daniel Suarez. A persistent computer virus develops a game where the only way to win is to kill off your team mates. The people who show the greatest willingness to backstab are recruited for missions in the real world.