Very natural. When the war came (simple past) to an end, my family had lost (past perfect) everything. The war came to an end (viewed as a completed action in the past) and before that the family had lost everything (a completed action during a period of time up to end of the war).

I would just suggest, "By the time the war had come to an end my family had lost everything.'

Sorry, can't agree with Denis. His suggestion needs a change in tense for both parts. . The version you quoted is more to the point and impactful than even the fully version suggested by Tracy. ... my... <-- lower case

i think its "when the war has come to an end"