Several things can help manage players who are stressed out.
Have aftercare time
After a difficult session it's often valuable to have some time after to care for them. Eat some pizza, drink some energy drinks, eat some dorritos, and chat and cool down. This often includes some friendly affirmations like saying how proud the NPC was of them, talking about sympathetic aspects of their backstory like how they saw them as a daughter after losing theirs, praising them for their excellent performance in the session and helping them plot a brutal and murderous vengeance on their enemies is normal.
Watching a cartoon or a comedy film is pretty common side entertainment during this time. This from experience helps them contextualize the emotions in a supportive environment.
Do check ins
The day after, and for every few days you can chat to them, touch base, and say some nice stuff. After a really heavy session a few days of sympathy can help a lot in reinforcing a better idea of things.
This is important because players often spiral after being away for a few days, some some sympathetic nudges can help.
Do a more gentle, relaxing session to decompress after
After brutally maiming your player's psyche, giving them some time to relax and heal is important. Next session, depending on their likes, you might have them rampage through their enemies and hang up their corpses, or do a festival, or they get a fortuitous encounter that upgrades their magic to allow them to consequence free slaughter people for a session, or they have an escort mission with puppies and kittens who are key to the kingdom's future.
Something with enough rewards to keep the other players happy, but which is lower stress so they can decompress is valuable to help deal with residual stress. I've often found players are still quite stressed a week later.