This is a phrase that you say to someone, before you tell them about something negative. For example, a manager can tell an employee that another employee was fired:

Hey, listen. I have some bad news. We had to let Bradley go today.

The phrase "I have some bad news" is appropriate for serious problems like:

• someone losing their job
• getting in an accident
• not getting selected for a job, a school, an award, etc.
• losing money
• the death of someone you don't know well

But it's not strong enough for really bad events, like the death of a close friend or family member. In that situation, phrases like these are better:

Lana, I have some horrible news. Aunt Coco was killed in a car accident.

A: What's wrong?

B: Something terrible has happened. Jana was shot.