I would say most of radiohead but ever since Thom outed himself as a zionist pig I haven't been able to listen since. For old times sake though:

• Exit Music (For A Film)
• No Surprises

Exit music resonates largely because I would daydream about running away from my shitass parents and actually did it one day which follows into no surprises and my constant battle against depression and suicidal ideation.

Then we have:

• Tame Impala - Let It Happen
• Pink Floyd – Time
• Losing You · Ephixa · Laura Brehm
• All the Light We Don't See that leads into Lily & the Moon - Thornhill The Dark Pool. The entire album is a full piece though so the whole thing needs listening
• Lorn - 'Weigh Me Down'
• Let You Down by Dawid Podsiadło
• Bastion - Setting Sail, Coming Home
• Death Stranding 2: Are You There, Lou?
• The entire Nier replicant soundtrack and game but Snow in Summer hits different (夏ノ雪)
• Failure - Stuck on You
• Into Dust, Mazzy Star, also fade into you, look down from the bridge
• Mirror's Edge Theme Song - Still Alive
• BLACK HOLE SUN, WONT YOU COME, AND WASH AWAY THE RAIN
• TOOL - Sober
• Sleep Party People - I'm Not Human At All
• The final performance in Your Lie in April (spoilers if you intend on watching the anime which you should)
• Chroma key - Colorblind (because chroma key dropped some serious bangers then just vanished)

I could go on and on and on for this one because sad music is like a good 70% of my music as sad is about 70% of my life. I won't go through all of them but general themes of struggling with addiction, depression, loss, parental abuse, low self esteem etc etc.