I remember crying from fear during a screening of that Disney movie upon which the Splash Mountain ride is based (can't remember the name, maybe "Song of the South"? Anyways, it's racist af). There was a scene where a boy is trapped in a pen with a charging bull and I cried so hard, scared, that my father had to leave the theater with me.
First memory crying from sadness during a film is, like others, "The Neverending Story" which we watched during a slumber party at the YMCA.
I remember seeing Clint Eastwood's "A Perfect World" in theaters and crying during the ending when Kevin Costner's character is killed.