Some significant stuff has happened in the first 3 episodes with Don, but it's been really subtle.
Like this is the first time I can ever remember him being 100% single in the series. And that's bad for a guy who pathelogically needs to feel loved all the time.
He has no family (the look on his face seeing what he lost just before leaving Betty's place after her new husband came home).
He essentially met a female version of himself in the diner waitress (someone who ruins a relationship and passes up happiness because they don't feel they deserve it).
He has no home (the look on his face when his penthouse was finally sold).
He doesn't have anyone close to him anymore who truly knows him (Anna is dead, her neice is MIA, Betty is remarried and Megan hates him).
And last but not least, his "charm" is diminishing. He's meeting more and more people who see him for what he currently is: a middle-aged, womanizer with a drinking problem that has no family, no home and no stability. Even at work people are starting to view him in a negative light. He doesn't hold the same stature he once did. And he's starting to notice it himself.