After happiness, sadness is the most common emotion attributed to music. A recent proliferation of research has provided intense focus on the reasons why sad music is so popular. The research presented in this paper aims to summarize the results of recent studies. The findings indicate that many people report that they choose to listen to sad music when experiencing sadness, and after experiencing negative events. A range of motivations have been found as to why people choose to listen to sad music, these include the role of music in; validating emotions, providing solace, providing rewarding emotional experiences, and aiding reflection and relaxation. For people who listen to sad music as an adaptive way to cope, some evidence in this review indicates that this may be a healthy strategy more applicable for psychologically healthy people, rather than those who are depressed or anxious. Findings indicate that depressed individuals, and ruminators, can use sad music adaptively, but also maladaptively. Sad music has also been shown to provide support when people are experiencing negative life events, as it enables the expression, identification, and understanding of the situation, which in turn aids the experience of consolation, and, ultimately, acceptance coping. Future directions for research, and the potential uses of sad music listening in therapeutic settings are discussed.