[epistemic status: speculative]
I.
Millgram et al (2015) find that depressed people prefer to listen to sad rather than happy music. This matches personal experience; when I'm feeling down, I also prefer sad music. But why? Try setting aside all your internal human knowledge: wouldn’t it make more sense for sad people to listen to happy music, to cheer themselves up?
A later study asks depressed people why they do this. They say that sad music makes them feel better, because it’s more "relaxing" than happy music. They’re wrong. Other studies have shown that listening to sad music makes depressed people feel worse, just like you’d expect. And listening to happy music makes them feel better; they just won’t do it.
I prefer Millgram’s explanation: there's something strange about depressed people's mood regulation. They deliberately choose activities that push them into sadder rather than happier moods. This explains not just why they prefer sad music, but sad environments (eg staying in a dark room), sad activities (avoiding their friends and hobbies), and sad trains of thought (ruminating on their worst features and on everything wrong with their lives).
Why should this be?
https://www.astralcodexten.com/p/singing-the-blues