Honestly - as backwards as it sounds, I play music that matches my mood - it gives me the message "you're not alone" and sometimes, that's what I need to break out.

But - I mix in things that though they match the mood, they have an uplifting tone or message as well.

An example for depression would be a song called "Last Dance"

It's about how when a person dies and others are left behind to mourn - their pain can be felt by the one who passed, so the one who passed will come to comfort the one they loved as the person sleeps.

This video uses scenes from the movie "The Never-ending Story" - which is a story about a boy mourning the death of his Mom, reads a book and winds up on an adventure thatn wherein the world is falling apart as he goes and it leads him to a girl he must name - he gives her his mother's name. But - throughout the movie, the girl is guiding him and speaking to him in differing ways. After he names her, he is granted wishes - and as he does, the world is restored as he desires. So this song and movie fit in a way but is also uplifting.