Here's a bit of a letter he wrote in 1920 about his time in Munich:
"I cannot and could not take anything back, not for a moment, not in any direction can I reject, or hate, or make suspect ... My only part in this whole thing is suffering. Suffering in sympathy, suffering in prospect, and suffering in retrospect too. Soon I shall be all played out...I have done no work at all. My heart just stopped, like a clock. The pendulum had swung against the hand of misery, and was checked."
Compare that with a few lines of later poetry :
Change, though the world may as fast / as cloud-collections, / home to the changeless / at last fall all perfections. (I, xix. Sonnets to Orpheus)
W.H. Auden wrote of Rainer Maria, "And Rilke whom 'die Dinge' bless / The Santa Claus of loneliness" in one of his more didactic poems, going on to compare him to such grim luminaries as Baudelaire and Friedrich Nietzsche. For example, regarding that Miss Lonelyhearts analogy of Auden's, here's another part of Sonnets to Orpheus:
Anticipate all farewells, as if they were / behind you like the winter, now going past. (II, xiii.)
Or, the last stanza of 'Autumn Day' :
Whose house is not built now shall build no more,
who now is lonely shall long be alone,
shall lie awake, and read, long letters write,
and restlessly, among the drifting leaves
of avenues wander to and fro.
A few brief life details :

1875 : b. in Prague, Dec. 4th.
1886-1890 : Military school (yuck!) abroad.
1892 : returns to Prague.
1894 : Publishes Leben und Lieder.
1896 : Moves to Munich.
1897 : in May meets Lou Andreas-Salome for the first time, then Oct. moves to Berlin.
1898 : spends spring in Italy.
1899 : first summer visit to Russia.
1901 : Marries Clara Westhoff, a sculptor, who bears his first child that December.
1902 : Move to Paris and starts hanging with Rodin; publishes Das Buch der Bilder.
1903: Publishes Auguste Rodin.
1904 : the Rilkes move to Rome.
1906 : Back to Paris.
1907 - 1916 : Many literary travels & visits to Capri, Italy (where he publishes a translation of Elizabeth Barrett Browning's Sonnets of the Portugeuse), Munich, Algiers, Naples and Venice finally lead up to WWI and military service in Vienna.
1919 : Living and lecturing in Switzerland.
1923 : Nursing home in Switzerland; publishes Die Sonette an Orpheus.
1926 : Rilke dies Dec. 29th at Val-Mont of leukemia.

Sources :
1. Holthusen, Hans Egon. Rainer Maria Rilke; a study of his later poetry, tr. by J.P. Stern. (Cambridge, Bowes & Bowes, 1952)
2. Butler, Eliza Marian. Rainer Maria Rilke. (Cambridge, 1946.)