Pride is the worst of the seven deadly sins for a reason (so says Dante, among others) – it leads to a ton of problems, not just for the prideful person but for the people around them. Pride and stubbornness are primary motivators (and failings) for Eustacia and Mrs. Yeobright – two characters who most harshly learn that pride can lead people to despair. The main way this occurs is through missed human connections – characters often refuse to reach out and speak to one another on account of their pride. As a result, people are often hurt and lonely in this book. We see this happen with Mrs. Yeobright and Clym, who each refuse to reach out and reconcile with the other until it's too late.
But The Return of the Native really questions what people have to be prideful about in the first place. If the heath tries to teach people anything, it's humility. Being human isn't much to brag about in this novel – people are dwarfed by forces in the world around them, are shown to be chock-full of faults, and generally end up doing themselves more harm than good. As such, the pride of these characters often contrasts with the narrator's take on their actual circumstances.
Pride, more than any other trait, links Eustacia and Mrs. Yeobright together.
Diggory is much more prideful than he seems. His choice of profession might appear humble, but it's really a sign of wounded pride, even more than a broken heart.
Clym is very prideful, even more than Eustacia.