To fully understand Thomas Hardy's pessimistic outlook on marriage, it helps to understand the ways that marriage in his society differed from marriage today. In nineteenth-century Britain, marriage involved following rigid sets of rules about everything from money matters to courtship to physical intimacy. People in this period viewed marriage as a business agreement as well as a romantic matter, and men and women were generally expected to marry within their own class. Sometimes people married into higher classes - indeed, this is a common trope in British novels from Austen to Dickens - but marrying down was frowned upon. People in the working classes generally had more freedom when it came to the financial elements of marriage; dowries were less substantial, and people in the working class were less likely to have arranged marriages.
There is an element of truth to Sue Bridehead's assertion that marriage harms women in ways that it doesn't harm men. Women lost many of their legal rights when they got married. Although they could inherit property and obtain money in other ways, their husband had ultimate control over all of a woman's assets. It was only in 1882, thirteen years before the novel was published, that divorced women were allowed to keep the property they had before marriage. Also, women were generally expected to quit working after they married; that Sue keeps teaching after marrying Phillotson would have been considered somewhat unusual.
When Hardy wrote Jude the Obscure in 1895, British marriage laws had very recently been liberalized (although they were still quite strict compared to marriage laws today). Up until 1857, divorce was illegal in Britain except in cases of adultery or incest. In that year, civil divorces were introduced, but couples could not remarry afterward and the children from the marriage were declared illegitimate for legal purposes. (Hurvitz)