In the episode 'Flight', Lexie Grey (Chyler Leigh) was killed in the aftermath of a plane crash, while Teddy Altman (Kim Raver) left Seattle Grace to take up a chief position elsewhere.
Williams, who plays Jackson Avery on the ABC medical drama, told Us Weekly: "I was sad to lose those guys. We love them to death, they're really, really beautiful people and it was difficult.
"It was kind of depressing."
The actor added that he is unsure of how long his character will last, stating: "Everybody is supposedly leaving, one way or another."
Williams continued: "I gave up predicting on that show after my first year. I spent my whole first year thinking I knew what the hell I was talking about, and now I just don't even pretend."
Grey's Anatomy creator Shonda Rhimes admitted to feeling "sick" and "sad" when she was penning the finale.
On Lexie's death, she explained: "It was a decision that Chyler and I came to together. We had a lot of thoughtful discussion about it and ultimately we both decided this was the right time for her character's journey to end."