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a section or column in a newspaper containing advertisements by individuals seeking missing relatives or lost pets or possessions, announcing the end of a marriage, etc.
Contemporary Examples

Reynolds wrote an agony column, “Susan Chester Heart-to-Heart Letters,” for the Brooklyn Eagle.
American Dreams, 1933: Miss Lonelyhearts by Nathanael West Nathaniel Rich April 28, 2013

Historical Examples

Colonel Desha was not one who believed in publishing a daily “agony column.”
Garrison’s Finish W. B. M. Ferguson

I read nothing except the criminal news and the agony column.
Adventures of Sherlock Holmes A. Conan Doyle

Alone, Lionel picked up his paper and turned to the agony column.
Once a Week Alan Alexander Milne

Just take a look at the ‘agony column’ in yesterday morning’s issue, and read the message to ‘Yob’—to Gunter, in fact.
Chronicles of Martin Hewitt Arthur Morrison

At this point West’s strawberries arrived and even the agony column could not hold his interest.
The Agony Column Earl Derr Biggers

As everybody knows, the agony column of a daily paper is not actually so domestic as it seems.
Once a Week Alan Alexander Milne

If you have the least communication to make to me, one line in the agony column of the Journal will be sufficient.
The Crystal Stopper Maurice LeBlanc

It is my habit to read the “agony column” (as it is flippantly called), the second column in the outer sheet of the Times.
In the Wrong Paradise Andrew Lang

Agnes called it the “agony column,” for the “personals” always headed it.
The Corner House Girls at School Grace Brooks Hill

noun
a magazine or newspaper feature in which advice is offered to readers who have sent in letters about their personal problems
a part of a newspaper containing advertisements for lost relatives, personal messages, etc