I initially watched this film a few months ago (I think I mentioned it earlier in the "last film seen" thread). It piqued my interest enough that I hunted down Buzzati's much talked about novel (called "The Tartar Steppe" in English). You're right, it is "depressing," and it's very surreal and psychological, part of the reason why it was said to be unadaptable. (Apparently, Perrin was the one who bought the screen rights. And as I hinted earlier, he had already worked with Zurlini.)
At the age of 17, Zurlini fought with the Italian Liberation Corps for a couple of years after the fall of Mussolini in 1943. Olaf Mller has stated that the residue of his experiences can be found in his early work (about a dozen shorts, which I haven't seen.) But Violent Summer, which is in fact set during that time-period, and The Desert of the Tartars also deal with war.
His films seem to have been made by a "thinker," with a pessimistic view of man's inherent shortcomings. "Zurlini's desparate vision of life led him to the two fundamental insights that inform all his work: just as death is certainty, it follows that relationships can never work and that love can't be kept alive -- and so it's best to abandon love while awaiting death" (Mller). And that's most apparent in films like Girl with a Suitcase, The Professor and Tartars. (I haven't seen Family Diary, a well-regarded film.)
Most of his films are small, intimate dramas. He perhaps wasn't a naturally talented stylist, so he studied art with the likes of Giorgio Morandi and Ottono Risai (the former was a renowned still-life and landscape painter). In fact, "La Torre Rossa," an Italian painting by Giorgio de Chirico, was what convinced him to shoot Tartars on-location in Bam. (Formally, he's neither Antonioni or Visconti, and so any sort of comparison would be unfair and unnessessary.)
The gaze his films project is an outward one, though not explictly one of emotional and spiritual death, but rather something even more metaphysical which, not surprisingly, is difficult to pinpoint.