The lasting feeling that audiences get after watching a great tragedy is the sense that all of the terrible things could have been avoided. If only the main character would have set their pride to the side instead of doubling down when challenged. If only they didn't ignore the omens. If only they valued their loved ones before losing them, or at the very least could process the guilt in a healthy way.
Even though fate governs the most ancient of all tragedies, tragedies are a human endeavor--they are caused by people making decisions that negatively affect themselves and others. While a pandemic striking, losing a home, or the death of friend may be a loss, these are not necessarily tragic--The Last Man on Earth starts with a pandemic, The Odd Couple starts with Felix losing his house, and The Big Chill starts with a gathering for the funeral of a friend that committed suicide--and all of these are comedies. What makes a work tragic is that people fuel the tragedy with their decisions, consciously or unconsciously.
And why? Because they want to be in a comedy.
Comedies are about winning, being victorious, and everyone living happily ever after. This is the goal of nearly everyone in real life, so of course the tragic heroes see themselves in the role of hero or "good guy" until its too late. Hamlet thinks he is doing the right thing in avenging his father until he has to fight and kill Laertes because of his previous poor decisions. Creon thinks he's saving the republic until, with Antigone's death, he loses his family to suicide. They are under the delusion that they will make everything right.
The tragic delusion is not just for protagonists either, as madness is a common trait in tragic characters. Ophelia goes mad to cope with her father's death and continual abuse from Hamlet. Edgar goes crazy when exiled by his bastard brother and only regains sanity by defeating him. The Glass Menagerie is full of delusions: Tom with his delusion that the Spanish Revolution is glorious, Amanda that her family has not dipped in social status, and Laura that she has friends in her glass animals. These delusions trap a character in only seeing one way out of a problem--with their rose-colored glasses on, they can't make out any of the red flags. Thus, while we as the audience may hope they stop before it's too late, they definitely won't, as their delusion of the happy ending won't let them.