I never had it happen to me with fiction reading, but when I read the book "Zodiac" by Robert Graysmith back in 1990 or so that one got to me, but it wasn't the gruesomeness of the killings that got me, it was the overwhelming sense of powerlessness that all of San Francisco seemed to have as this one lunatic darted through the streets and parks and taunting the police and citizens with crazy cyphers and notes.
As for desensitized to violence - I wrote a novel following a 17 year old Japanese foot soldier from enlistment to 1937 The Rape of Nanking. It completely mangled my repulsion compass, which also mangled my happiness compass, so for a year I went through life with almost no discernible emotion. Part of that was the two years of casual then obsessive research that led to the book in the first place, the other part was being inside a character for a year of writing who slowly goes cuckoo-for-killingpops.
I knew something was wrong when I downloaded the beheading video of Daniel Berg, watched it, and had no reaction at all. Figured I must've missed something, looked for more horrible war photos from Iraq, Rwanda, WW2, etc... and none of them had any impact on me.
I purposely made the book less lurid and awful than it could have been because I knew the audience wouldn't stick with a visceral exploitation book, which is probably why I couldn't generate any interest in it from editors. The end result was it took a couple of years of not touching that book and trying to revel in things that weren't war atrocities to get my bearings again and write more short stories.