Yes, I often find music depressing or sad too. Sometimes the sadness is cathartic, but not always.

The longer I have dealt with depression and anxiety, the bigger problem I've developed reacting negatively to music. I don't even always like to listen to it anymore. I feel like I don't know what it's going to do to my emotions. It sort of jerks them around.

It doesn't have to have any words, either. Often it's the quality of the sound that does it.