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If by "tragic" you mean the classical definition of the tragic hero, then the problem with Lennie is that he lacks the qualities of a tragic hero, the most important of which would be an awareness of his own condition.
I'm not sure you can apply classical definitions to Of Mice and Men in any sensible way.
If by "tragic" you mean a more colloquial use, the way hear it used by newscasters talking about a "tragic" car crash or a "tragic" fire that destroyed a historic landmark, then I agree that Lennie probably would be the most "tragic" since he has so little, and doesn't even really understand why he loses that.
For me, though, the really tragic figure is George, who has a clear awareness of Lennie's limitations, and who just as clearly loves him as we so often love those close to us who just can't quite cope. George has to shoot Lennie not out of anger, or even despair, but in order to protect Lennie from worse than being shot by his best friend. George is the one who loses the most in this novel, in my opinion.
The most tragic figure in Of Mice and Men is Crooks. Crooks is a symbol of the oppression and the segragation that was present during the 1930s Depression Era. He is in a situation where his status will never change. He lives in the barn with the horses. The men don't want him in the bunk with them because he is Black and because they say he stinks. Crooks is disabled physically because a horse bucked him.
Also, there is no indication that there are other African-Americans living in his town. He tells the story of the farm his father owned and how he played with "white children." Nevertheless, Crooks is not married and does not appear to have children. This is a status he shares with the other men. However, if he is one of the few Blacks in town and racial intermarriage is illegal at this time, he is faced with no dating options. Those facts add to his loneliness and anger at no opportunity to socialize or have love in his life.
Despite the fact that he is educated, he is considered inferior and unworthy of company. There is no way for Crooks to elevate his status and receive equal treatment. For example, Crooks has a Civil Code (Law Book) in his room, dictionary and other books. Nevertheless, his status as under class citizen will never change despite his intelligence. Hope is an essential part of the American Dream. When there is no hope for social/economic progress or love a character becomes TRAGIC.
In John Steinbeck's Of Mice and Men, the tragic hero is George. The tragic hero is defined as a protagonist (hero) who is good and noble (like George) but who inadvertently causes his own suffering through a mistake in judgment (like George, who always covers up for Lennie's errors) or through a character weakness or flaw. George fits this definition of tragic hero.
All along, George covers up for Lennie. For example, he makes up a story about how Lennie was kicked in the head by a horse because "retarded" was such a profound social stigma; he escapes with Lennie to a new town and a new quest for work every time Lennie hurts something or someone or otherwise does something wrong. George, in order, he believes, to keep his promise to an "old woman," never tells the truth about Lennie, as a result Lennie is let into positions that he can't live up to. In the end, George has to cause Lennie's death and his own massive suffering.
On the other hand, Lennie never has a concept of suffering for himself or for others. He worries and wants to please, but can't perceive the abstract moral construct of suffering. George lives the definition of a tragic hero making him the most tragic character in Of Mice and Men.
I believe George was the most tragic character. Many will say it is Lennie, but sometimes mentally challenged individuals do not conceptualize the everyday frustrations and the challenges in ones future that may cause tremendous stress and constant anxiety. George certainly had many anxieties that Lennie was unaware of and yet when he realized that he could not take care of or control Lennie, he chose to do the unthinkable to prevent Lennie from a tortuous existence or a more painful death. It is a tragedy and burden George would have to live with forever.
Of Mice and Men has several tragic characters, but none is as tragic as Lennie. Lennie, born with a mental disability, knows loyalty to his friend, but he does not understand his own strength. From the beginning of the story the reader is invited into an understanding that Lennie’s life is going to be limited. Lennie is strong but has no defenses. He is dependent on his friend, George, to guide and protect him from himself as well as others. He is set-up throughout the story as the meek but inferior character who will succumb to a sad fate due to his limitations. He has been doomed from birth. The reader feels sympathy for Lennie and begins to experience a sense of tragedy as Lennie’s dreams of utopia fall apart and his death becomes imminent.
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