The ending of Of Mice and Men is more of a tragedy for George because, even though Lennie was who ended up getting killed (by George), we know that it must have been a terrorizing moment for George when he realized the intensity and the problematic nature of what Lennie had done, and the consequences that will await him. The difference was that Lennie ended up dead, and George would have the horrible fate of being alive to suck up every single consequence that will come as a result of both what Lennie did and what he did to Lennie.
Lennie accidentally killed Curly's wife. This was not only a human being he killed, but the wife of a man who already hated Lennie, and who was also their boss. There was no getting away from this one.
George had protected and supported Lennie for years, and has basically endured all the problems that come when you deal with someone who is mentally challenged and physically overpowering. Hence, George was always (we could say) sweating bullets whenever Lennie did or say something.
Finally, when the final straw hit and Lennie accidentally twisted Curly's wife's neck, there was George again trying to figure out how to solve this problem. He was in such a bad place that he knew that what was coming next was Lennie being lynched by Curly's mob. He could have been guilty by association. Either way, their future was completely lost.
When George decided to kill Lennie, he did not do it to save himself, but to save Lennie from a much less merciful and more humiliating death. This meant that George would still be alive to witness all that will happen as a result of the death of Curly's wife, and as a result of the death of Lennie.
It was now George who had to carry the burden for the both of them, again, the burden of being alive and the burden of being dead. Hence, George now is stuck with the rest of his life, which is not a promising one at all.