There are 2 films tied for the most unsettling i've ever seen.

Grave of the fireflies (1988)

A beautifully animated film about a teenage boy and his young sister fighting  for survival during WWII Japan after their town is bombed by US forces.  They are separated from their family and left to fend for themselves. As the story progresses, the two are abandoned once more by their own relatives due to the pressures of sheltering more and more refugees. Two displaced, young people forced to rely upon one another with no guidance in a world where hope seems futile. The film unearths the stark realities and atrocities that humans endured during times of conflict throughout and winds down to a bitterly painful end. 

Highly recommended if your aim is to become sad and reflect on the state of the world. 

Audition (2001)

A film adaptation of the original work by Ryu Murakami (Author of Almost Transparent Blue). Starts off in a humorous fashion. A widower sets up a fake audition to find a new partner . He is unaware that the woman he chooses has a very dark past filled with extremely disturbing imagery. A dance teacher with prosthetic feet, a bar with a dismembered body, and a disfigured humanoid drinking vomit and writhing in a sack are some of the images that stayed with me. A true psychological thriller, and one hard to forget. 

Watch if you want a complete mindf**k

Both very unsettling in their own ways.