Sadness is the most common emotion attributed to music after happiness. A recent surge in research has explored why sad music is so popular. This work aimed to summarise the results of these studies. It is indicated that sad music is listened to more commonly in sad mood and negative situation. Many different motivations have been found with regards to listening to sad music such as validating emotions, providing solace, providing rewarding emotional experiences, and aiding reflection and relaxation. With regards to listening sad music being an adaptive way to cope, some evidence in this review indicates that this may be more so the case for psychologically healthy people (rather than depressed or anxious individuals) who are also more like to apply healthy coping strategies. In contrast, findings indicate that depressed individuals and ruminators use sad music both adaptively and maladaptive. Sad music also might be particularly helpful when people are experiencing negative life events, as it enables the expression, identification, and understanding of the situation that can aid to consolation and acceptance coping. Future directions for research and the potential application of sad music listening to therapeutic settings are discussed.