How does Macbeth react to Lady Macbeth's death, and why is it so depressing?  

When Macbeth hears that Lady Macbeth has died, his immediate reaction seems to be one of indifference, followed by a kind of nihilistic resignation.

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Upon hearing the news of his wife's death, Macbeth's first words are that "she should have died hereafter." There are various possible interpretations of this line. One interpretation is that Macbeth is saying that Lady Macbeth should have died after the coming battle, when there would have been time for Macbeth to process the news properly and mourn her death. Another possible interpretation is that Macbeth is saying that Lady Macbeth was going to die at some point anyway, the implication being that it makes little difference whether Lady Macbeth died now or later. Whichever interpretation we go with, Macbeth's reaction seems to be defined by indifference. He does not break down and sob or become angry. Instead, he reflects on the pointlessness of life. If the news of his wife's death has any impact on him, besides indifference, it is only to compound his own view that life is, as he puts it, "a tale told by an idiot, full of sound and fury / Signifying nothing."

In the soliloquy which follows the news of Lady Macbeth's death, Macbeth proclaims, "Out, out brief candle!" The candle here, or more specifically the flame of the candle, symbolizes life, either his own, his wife's, or both. If we take the flame to symbolize his own life, then this line seems to indicate that Macbeth has had enough, that he is ready to die. This interpretation in turn informs our understanding of his reaction to the news of his wife's death. If Macbeth at this point wants his own life to end, the implication is that he has lost, in his wife, the last reason he had to live.

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To understand Macbeth's reaction to his wife's death, it is important to understand their relationship.  Does Macbeth love his wife?  Definitely.  There is a deep passion there.  They are a team.  They will literally do anything for each other.

Consider this, Lady Macbeth hatches the plan to kill Duncan but it is Macbeth who carries the plan out, even adding his own twist when he kills the grooms.  He surprises her with the murder of Banquo but it is Lady Macbeth who covers for him at the banquet when he begins to act strangely.  This is teamwork in action.

The guilt of her part in what has happened finally drives her mad and Macbeth feels helpless.  In Act V, scene 3, he questions the doctor who explains that her illness is mental, not physical and that, "Therein the patient/Must minister to himself."  This isn't the answer he wishes to hear and replies, "Throw physic to the wind; I'll none of it."

In the next scene (4), Seyton tell him that Lady Macbeth is dead.  Macbeth replies, "She should have died hereafter./There would have been a time for such a word."   He then launches into one of the most famous speeches in the play and he comes to the realization that everything he has done has led to nothing.  He regrets that he does not have time to mourn his wife's death because he is too busy fighting for his own life.  Maybe tomorrow he can mourn her.

What is so depressing is Macbeth's realization about his life.  The Tomorrow speech is a depressing view of life, not just Macbeth's life but all life.

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Macbeth's speech, as he prepares to go to battle, following Seyton telling him that "The queen, my lord, is dead," is one of the most famous speeches in all of Shakespeare's canon.  As far as literal reaction to her death, he simply says:

She should have died hereafter.

There would have been time for such a word.

Which means that, according to Macbeth, she should have lived longer, so he might have had time to grieve.

The rest of the speech can be considered depressing because of the point of view that Macbeth gives on life and death.  It is however, continually discussed and debated, so you should try to read it carefully for yourself to see what your impression is of Macbeth's views.

Some things that stand out to me are, first, the rhythm of the text.  The repetition with which it begins ("Tomorrow and tomorrow and tomorrow") really emphasizes monotony.  And when he goes on to describe this procession of tomorrows as "creep"ing in at a "petty pace," the pointlessness of this monotony is brought out.  Taking this parade of days to its ultimate conclusion ("the last syllable of recorded time"), only shows that, for Macbeth, there is no hope ever that life won't be a monotonous series of petty, creeping days.  Pretty bleak stuff.

He also comments on human life calling those who have gone before "fools" going to "dusty death."  He winds it up by calling life itself a "tale"

Told by an idiot, full of sound and fury,

Signifying nothing.

You might call this "depressing," as you have mentioned in your question.  But whatever you call it, it is devoid of hope for mankind or a hint of love for life.

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I think that examining this soliloquy will be the first step that you will have to take.  Part of the reason why Macbeth's reaction is so depressing is because of a moment of realization, an awareness of the futility of one's life.  Examine how he describes both his reactions to her death as well as the nature of life, itself.  It's almost as if Macbeth is admitting that everything that they both sought, all that was emphasized and underscored, turned out to be for nothing.  The imagery in his reaction reveals this sense of nihilism.  The idea of "tomorrow, tomorrow creeps in this petty pace" helps to bring out the idea that time does not stop for anyone and that, in a way, all of us are "on the clock."  The fact that death is described as "dusty" is another way that a hollowness is present in articulating both Macbeth's state of mind and how he views reality.  The notion of "a brief candle" is something that relates the quickness and silly fragility of life and the soaring of consciousness being a "tale told by an idiot, full of sound and fury, yet signifying nothing" helps to bring to a crescendo the meaninglessness of life.  The fact that this realization hits Macbeth upon hearing news of his wife's death makes it all the more depressing.

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