Who did not benefit during the Great Depression?
Almost everyone in the United States (and in much of the rest of the world) did not benefit from the Great Depression. After all, few people benefit when a country's economy crashes badly.
If you are asking about the New Deal rather than about the Depression itself, then the group that benefited least was probably African Americans. Many of the New Deal programs discriminated against African Americans. For example, the TVA did not allow blacks to be hired for many higher-paying jobs. Other New Deal programs simply were not helpful to African Americans. The AAA, for example, paid farmers to cut back on production, which ended up putting many blacks who worked on other people's farms out of work.