The enjoyment and pleasure derived from sad music has sparked fascination among researchers due to its seemingly paradoxical nature in producing positive affect. Research is yet to develop a comprehensive understanding of this “paradox.” Contradictory findings have resulted in a great variability within the literature, meaning results and interpretations can be difficult to derive. Consequently, this review collated the current literature, seeking to utilize the variability in the findings to propose a model of differential sad states, providing a means for past and future findings to be interpreted. The proposed model is based on theoretical understanding, as such it requires full empirical support. Comparisons to alternative models, theoretical, clinical, and cognitive implications, as well as future directions are discussed.