Mine is for a very specific kind of depression that's really more of a vibe of melancholic regret and realization of self limitations which breeds a strange, nearly apathetic anxiety. The Devil And God Are Raging Inside Me by Brand New (full album) just picks at a scab that you know probably isn't healthy but feels satisfying to indulge.
For existential dread, Dark Side of the Moon by Pink Floyd hits way different now than when I was young. Especially the songs Time and Great Gig In The Sky.
For depression depression, I couldn't be bothered to listen to any music. "Music is for winners" is kinda the mindset. Not helpful, but depression is a motherfucker and it's almost like self-inflicted emotional abuse when you're already vulnerable. You feel miserable and convince yourself that you deserve misery, so all is right in the world. It fucking sucks and I hope that if this comment causes anything in anybody's brain to light up, saying "hey wait a minute, is that not normal?", then please invest in yourself and spend some time with a therapist, take more vitamin D, and try to do what you can to get yourself to a place where those feelings are just memories that you can mention on Lemmy in hopes of helping others the same way that you needed help.
It's not really a single song for me, it really depends on how depressed I am and whether I want to dive deeper into it (which really helps a lot sometimes) or make myself feel better.
Dive-in (including, but not limited to):
The album Spiderland by Slint is pretty much full of depression songs for me, gloomy and full of dread. Don, Aman and Washer in particular are very hard hitting for me.
F#A#∞ by Godspeed You! Black Emperor has similar vibes but is a lot more dystopian and pessimistic. Ever since hearing East Hastings in 28 Days Later it's been my favourite song on the album.
Feel better (including, but not limited to):
Everybody Hurts by R.E.M.; I normally don't like this kind of songs but this one just feels honest and sincere which I can appreciate, plus Michael Stipe just has a great voice.
Down Under by Men At Work; Pretty much the polar opposite of the post-punk/-rock songs mentioned above. I really want to move to Australia one day and this song reminds me of that goal.
Happiness/The Gondola Man by Elliott Smith; just a nice song and I really like Elliott's voice.
I've got a playlist, "Everything sucks but that's ok". This Year by The Mountain Goats is usually a solid pick. It's wistful and defiant without being too sweet.
I got so tired of discussing my future
I started avoiding the people I love
Evenings of silence and mornings of nausea
Shake and sweat and I can’t throw up
And if things are starting to get a little better Good As It Gets by Little Hurt is great. It is incredibly catchy.
Suite: Judy Blue Eyes by Crosby, Stills, and Nash (and sometimes Young). Also, Wooden Ships, same band. Four Way Street is an outstanding album full of heavy hitters
A black sun rises everyday /
Shadows cross my path as if to say /
"Change your life, change your ways, look up to the sky" /
Tomorrow'll soon be here then time to die
This is some loud stoner/doom metal. Cheesy? sure. Self indulgent? Absolutely. But when the mood strikes it hits the spot every time
Album or song? Because for me, they both kinda blurred together when I was at my worst. That being said, I'd suggest the album Tomorrow is nearly yesterday and everyday is stupid by Crywank (UK). I listened and related so much to this album at one point that it's actually difficult for me to listen to anymore.
Owen's Theme from Torchwood. Not an amazing show, but the music was written and composed by Ben Foster & Murray Gold who brought us all the haunting music from the new Dr. Who series. The descending pattern, combined with Owen's own tragic story is one of the most indulgent depressing songs I've ever heard.
Have been too depressed for too many decades. Lost the ability to enjoy music. Miss it, but anytime I try it feels contrived and I hear people from my past deriding my selections for various reasons.
There is a small indie band called Kabir Cafe, whose songs are inspired by a 14th-15th century poet- philosopher called Kabir. Those are some amazing songs to hear to.
Liquor Bottle by Herbal T. Has a nice faux-upbeat rhythm with jazzy kinda beats, but lyrics.are dark. Definitely helps me keep a sane face on the dark days:
You just won't lie down.
Even closing your eyes, you can't let it go, Surrounded inside.
Leave it alone.
You don't get it back
Undoing the scenes you can't explain,
Whatever you dream
That you've buried away.
It seems like you're there as someone removed
And left in their place with nothing to do.
Bound to the switch.
Railing again at the thought of the fight
For well-earned dissent
Undeserved at the time.
As you've been shown, the motion has gone
A shade of the night, only leading you on.
I'm a big music snob, and I'm in my forties, but Decompression Period by Papa Roach hit me really hard the first time I heard it, and it's always one I go back to. I've never had a bad breakup or anything, but it really captures the feeling for me.
Bird is Bored of Flying, by Mastersystem, is the best soundtrack for falling into a depressive haze. Death Dream and Loneliness and the Scream by Frightened Rabbit, who shares the lead singer above, are also incredible. Music can keep the void from growing, and let you sort of float atop it.
I've got a whole fucking playlist for real sadboy hours on rainy drives home where I want to get lost in the back of my mind and it's like 50% this band.
The whole soundtrack (and game) is wonderful, and it develops across the album through to hope. The first few tracks though, they take me back to a point of great sorrow and straight through the stages of grief.