For this list, I have focused on music from the 1970's to the 1990's. I don't just judge how mood-killing a song is by looking at the lyrics, but by the sound of the music as well. As someone who grew up listening to the oldies radio stations in my parents' truck, I can definitely recall some songs that at least made me frown and at most forced me to hold back tears.
6. Michael Bolton's "How Am I Supposed To Live Without You?" (1989)
This is the song that screams the 80's era (or more appropriately, bawls and cries the 80's era). The lyrics describe the narrator's fear of his relationship ending becoming true with the lyric:
"I don't want to know the price I'm gonna pay for dreaming."
The vocals and the keyboard can be obnoxiously over-the-top, which does ruin the depressing nature of the song ad absurdum.
5. Creed's "My Own Prison" (1999)
This post-grunge rock band is known for the religious language in their songs (including this one), however this song can be interpreted through both a religious and a secular perspective. But there is also a lot of legal language as well, with words like "court," "appeal," "sentence," "prison," etc. This signifies being trapped by a force beyond the narrator's control. Religiously, it is about the narrator answering for his sins; secularly it is about the narrator feeling insignificant in a corrupt world with the lyric:
"We're all held captive out from the sun, a sun that shines on only some. We are meek and are only one."
The slow, hard-rock guitar riffs invite the listener as though he is making his way into a seedy bar. It fits the unwelcoming theme of this song.
4. U2's "New Years Day" (1983)
The song mainly deals with separation. Originally Bono wrote this about his wife, but then shifted the focus of the song to the Polish Solidarity Movement when Poland was part of the USSR. Either way, the mournful piano accompanies Bono's lyrics of distress at the rest of the world, which is encapsulated with the lyric:
"So we're told this is the golden age. And gold is the reason for the wars we waged."
The guitar wails in the middle of the song.
3. Genesis "Man on the Corner" (1981)
What definitely makes the song saddening is not just the homeless man, but the people who wonder about him. We spend so much time wondering why that man is in the corner, more so than realizing that we can do without asking so many questions with the lyric:
"But like a monkey on your back you need it, but do you love it enough to leave it?"
2. Barry Manilow's "Mandy" (1974)
The narrator bemoans the loss of a relationship; especially since he is aware that he was responsible for it with the lyrics:
"You came and you gave without taking, but I sent you away."
The entire song, accompanied by the mellow piano, is a plea for this Mandy to return knowing that it is meaningless.
1. Clarence Carter's "Patches" (1970)
The concept of the song is about a boy who has to take care of his family's farm after his father passed away. Lyrically, this song reminds the listener that he/she is mortal and susceptible to life's unexpected troubles with the line:
"At the age of 13, I thought I was carrying the weight of the whole world on my shoulders."
What also makes this song depressing is that even as the narrator's life gets better, he continues to remember his father's last, haunting words, which work as the main stanza of the song. The back-up vocals and the violins heighten the emotional intensity in this song.
man running in forestPhoto by 
