On January 6th 1853, shortly after winning his election, Franklin Pierce, his wife and 11 year old son, Benjamin, were involved in a horrible train derailment in Andover MA. Benjamin was crushed to death, when the train rolled down an embankment. Franklin Pierce's wife was a sickly woman. They had already lost two children due to early childhood sicknesses. Benjamin was a healthy child, but his tragic loss made Franklin Pierce's wife so despondent, she did not move to Washington DC until New Year's Day 1855. Historians also think the sudden loss of his only living child caused Franklin Pierce to become depressed and it affected his presidency.
Source: "Franklin Pierce: New Hampshire's Favorite Son" by Peter Wallner (2004)
I've seen some historians remark on Benito Mussolini's relationship with his younger brother Arnaldo.* You'd be hard pressed to find two brothers who were more different. Arnaldo was a quiet, pious man, who disagreed with many of Benito's policies, yet nevertheless held a deep, abiding love for the man, dating back to their childhood when Benito would fiercely defend his little brother against schoolyard bullies (Benito was expelled from multiple schools for fighting).
Arnaldo was Benito's closest confidant and only real friend, and the sole voice of reason to which the Duce paid any real heed. Arnaldo was a devout Catholic, whose public endorsement of the regime was instrumental in persuading the greater part of Italians to follow his brother. He no doubt encouraged his brother to seek peace with the Church, an effort which culminated in the Lateran Accords (1929), perhaps Mussolini's most enduring legacy (modern Catholics have him to thank for the independence of Vatican City). Due to his privileged familial position, Arnaldo was the only person who could tell Benito when he'd gone too far, and he did his best to pull the dictator back towards a point of moderation.
During the 1920s, Mussolini was in the process of constructing a cult of personality around himself. Though he was an unrepentant egomaniac, this project was very self aware. As a reader of Georges Sorel, he knew that a successful revolution demanded a mythic basis, and he built that myth out of his own charismatic machismo combined with the cultural memory of Ancient Rome. But he always had his brother to keep him grounded, until Arnaldo died in 1931. All of Mussolini's most deadly errors happened in the 1930s: the invasion of Ethiopia, the alliance with Hitler, the adoption of Germany's racial laws. Mussolini perhaps began to buy into his own lies: surrounding himself with yes-men, micromanaging his whole government, and believing Italy to be more powerful and ready for war than it was.
It's hard to present this as more than speculation, as the Duce would never admit to being brought so low for such sentimental reasons. But it's hard to deny that the rising star of the 20s went totally off the deep end in the 30s. I, along with others, believe that this is at least in part due to the devastating loss of perhaps the only person he truly loved.
*Denis Mack Smith, "Mussolini." David A. Binchy, "Church and State in Fascist Italy."
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The British Liberal prime minister Henry Campell-Bannerman's wife passed away whilst he was in office in 1907. He suffered a mental decline, including on one occasion excluding himself from a dinner party to weep uncontrollably upstairs, as well as several heart attacks which led to him resigning office.
Robert K Massie writes about it in 'Dreadnought', I read it a couple of weeks after getting married and its always stuck with me.
This is a fair bit earlier than most of the other responses, but the Roman emperor Tiberius supposedly retired from the capital, in part, because of the death of his son, Drusus, in AD23. From Suetonius' Lives of the Twelve Caesars:
"After the loss of his son Drusus at Rome and his adopted son Germanicus in Syria, Tiberius retired to Campania - from which almost everyone swore he would not return, but would soon die there. This prediction was not far out, because Rome had in fact seen the last of him..." (Suetonius, Tib. 39).
Tiberius then spent the majority of his reign (around AD27 to his death in AD37) on the island of Capri, allegedly indulging in various disturbed and debauched activities - Suetonius has him training little boys, "whom he called his 'minnows', to chase him while he went swimming and get between his legs to lick and nibble him" (Suetonius, Tib. 43). Though these rumours should probably be taken with a pinch of salt.
Sources: Suetonius, 'Lives of the Twelve Caesars'; also Tacitus, 'Annals of Imperial Rome', Ch. 6.
Calvin Coolidge lost his son, Calvin Jr, in 1924 while Coolidge was running for reelection. Calvin Jr died of an infection from a blister he received while playing tennis on the White House lawn. Coolidge continued his campaign and ultimately won, but the loss clearly effected him.
Many historians believe Coolidge suffered from depression the rest of his time as President and might have blamed himself for the death of his son. In his autobiography Coolidge said, "When he went, the power and glory of the Presidency went with him."
Source: "Autobiography of Calvin Coolidge" by Calvin Coolidge 1929