There are a large number of monsters/villains. Nightmare Moon, Discord, Queen Chrysalis, King Sombra, the Chimera, Tirek, Starlight Glimmer, the Pony of Shadows, Cozy Glow, and Grogar are some of the more intense ones.
Some characters have mental or emotional breakdowns; they are never violent, just intense.
There are some emotional and sad scenes that very young or sensitive kids may find intense.
In "Castle Mane-ia", the cast spend most of the night in a derelict castle the environment is very spooky with the characters becoming increasingly frightened, there is also a shadowy figure playing an organ which results in various booby traps triggering, although this only turns out to be Pinkie Pie.
Despite some darker moments, overall, it is a very light and happy show that attempts to teach children to be nice and accepting of others.