Fans deem this as the most tragic character in the Marvel Cinematic Universe.
In the 2014 debut film, the Guardians of the Galaxy were a motley crew, reluctantly joining forces to save the world. Throughout the series, each member's past slowly reveals itself. But it's not until Guardians of the Galaxy Vol. 3 that fans realize Rocket's immense tragedy.
One who perennially denies their past and remains ignorant of their true origins.
In their initial appearance, Rocket (Bradley Cooper) and Groot (Vin Diesel) were a renowned bounty hunting duo. Rocket keeps mum about his past, known only as the product of a heartless experiment. Despite his valor in battle, he's inwardly fragile, unable to confront the pain of his past.

While Nebula (Karen Gillan) hides her torment of being tortured by Thanos (Josh Brolin) by transforming body parts into machinery, Drax (Dave Bautista) mourns his wife and child's deaths, and Star-Lord/Peter Quill (Chris Pratt) is haunted by his mother's demise, Rocket appears to want only to shun his past.
Throughout the films, audiences repeatedly hear him deny being a raccoon. What seemed like a humorous detail turns out to be James Gunn's clever subtext. In reality, Rocket doesn't even know he's a raccoon. No matter how talented he is, he can't see himself and his companions as anything more than pawns for the High Evolutionary's plans or know where he comes from.

Luckily, by the end of the film, Rocket learns his origin and accepts that he's a raccoon. Not only that, but the Guardian also decides to rescue his fellow species or other lower creatures, going against the group's criteria of only saving intellectually advanced animals. This detail shows that he can finally overcome the pain of the past and live on without regret or hiding.
Twice losing his loved ones
Remember in Avengers: Endgame (2019), Rocket and Nebula are the only survivors after the Guardians' team is 'dusted' by Thanos' snap. It seemed like Rocket was 'okay' being the one comforting his female teammate. But after Guardians of the Galaxy Vol. 3, we discover just how much he had to struggle.

If we only consider physical pain, what Rocket has endured may exceed that of many others. Witnessing the actions of the High Evolutionary, Mantis cries, Peter Quill can't bear to watch, and Nebula remarks that they're much worse than what Thanos did to her many times.
Furthermore, Rocket has experienced losing loved ones multiple times. In the past, he had a close group of friends: Lylla (Linda Cardellini), Teefs (Asim Chaudhry), and Floor (Mikaela Hoover). They were like a family as they endured painful experiments that left their bodies disfigured and locked in cages. They all dreamed of reaching a 'new world' together and gazing at the blue sky. For a long time, that trio was everything Rocket had.

However, everything came to a sudden end when he learned that the entire group would be wiped out overnight and tried to escape. In the end, both Lylla, Teefs, and Floor perished. The image of the key that Rocket always carries with him shows that the raccoon is still haunted by what happened that day.
After two installments of Guardians of the Galaxy, Rocket found a new family in the Guardians of the Galaxy team. They fought together, through countless battles until Avengers: Infinity War (2018), where he once again witnessed Groot and other teammates turning to dust. For five years after that, only Rocket and Nebula leaned on each other.

Until now, fans only saw Rocket as a 'cool' character, fearless and never tired within the Guardians of the Galaxy team. However, after Guardians of the Galaxy Vol. 3, we realize what he went through was far more tragic than other members multiple times. The decision to make Rocket the new leader of the group is entirely justified as it opens up many new development avenues.
Image Source: Marvel
