Tragedy
late Middle English: from Old French tragedie, via Latin from Greek tragōidia, apparently from tragos ‘goat’ (the reason remains unexplained) + ōidē ‘song, ode’. Compare with tragic.
wiktionary
From the Middle English tragedie, from the Old French tragedie, from the Latin tragoedia, from the Ancient Greek τραγῳδία(tragōidía, “epic play, tragedy”), from τράγος(trágos, “male goat”) + ᾠδή(ōidḗ, “song”), a reference to the goat-satyrs of the theatrical plays of the Dorians.
etymonline
tragedy (n.)
late 14c., "play or other serious literary work with an unhappy ending," from Old French tragedie (14c.), from Latin tragedia "a tragedy," from Greek tragodia "a dramatic poem or play in formal language and having an unhappy resolution," apparently literally "goat song," from tragos "goat, buck" + ōidē "song" (see ode), probably on model of rhapsodos (see rhapsody).
The connection may be via satyric drama, from which tragedy later developed, in which actors or singers were dressed in goatskins to represent satyrs. But many other theories have been made (including "singer who competes for a goat as a prize"), and even the "goat" connection is at times questioned. Meaning "any unhappy event, disaster" is from c. 1500.