Radiohead - No Surprises

Radiohead - Exit Music (for a film)

Radiohead - How to Disappear Completely

Portishead - Roads

Beck - Guess I'm Doing Fine

Elliot Smith - No Name #5

Neutral Milk Hotel - Oh Comely

Alice by Tom Waits is some real "cry into your whiskey" shit

The entire 'Carrie and Lowell' album by Sufjan Stevens Posthumous Forgiveness by Tame Impala Mad World (Gary Jules) 'The Downward Spiral', entire album by Nine Inch Nails Someone else pointed out too, but the entire 'OK Computer' by Radiohead, specifically Paranoid Android, Exit Music (From a Film), and ofc, No Surprises, How to Disappear Completely, also by them Like a Stone by Audioslave, Black Hole Sun by Soundgarden The Eternal by Joy Division Suicide Season by BMTH Crown of Love by Arcade Fire I will follow you into the dark by Death Cab for Cutie Losing a Religion, Everybody Hurts (R.E.M) Whiskey Lullaby (Alison Krauss, Brad Paisley) Like a Rolling Stone by Bob Dylan I am the Antichrist to you by Kishi Bashi Snuff, A Liar's Funeral (Slipknot) Adam's Song by Blink182 Crawling, In the end, Somewhere I belong, Papercut (Linkin Park) Forever and Always by Parachute

and lastly, if it gets too bad, my dms, by me

Mitski is great for this. Here’s a good one:
I Bet on Losing Dogs

https://youtu.be/UOAfA5SDq50?si=IH5GtLHAw9nhdrsz

Joanna Newsom - Cosmia

Written about a close friend of hers who died while she was touring.

Casiotone for the Painfully Alone - vs Children

Shellac - Prayer to God

Mostly just purely spiteful on its face, but there's definitely a lot of underlying sadness in there. Good for when you got a case of the bitters (though not likely to help get you out of it lol).

The Mountain Goats - No Children

Also more spiteful than weepy sad, but up there.

No soy de aqui ni soy de alla - Jorge Cafrune, song of liminality and just being outcast/not belonging but on the flipside of trying to find belonging in fleeing happiness through experiences

https://youtu.be/Bcus42ihkTI?si=2VVZOwcjp7Xs5e9n

Literally the only song that’s made me cry.

Burial and Lusine are pretty depressing

Mark bearns, cranes

Phoebe Bridgers, likely something like Motion Sickness. She also has a song called You Missed my Heart from the same album Motion Sickness is on. I think it's melodramatic and overlong, but it might be what you're looking for.

https://youtu.be/IoNEeKJ2x44

Mahler's 9th Symphony. It's four meditations on death. Leonard Bernstein did a great lecture on it: https://www.youtube.com/watch?v=U5I7lYN5adU

Dystopia- Stress Builds Character

The Mob - The Mirror Breaks

Cyandie Scenari - Awayday to Aushwitz

Rudimentary Peni - Happy Farm

The bads themselves are depressing as hell across all their material too

The Way to Us by echoes of giants, especially the first part of the album is just super depressingly sad, while the middle portion is more melancholic, leading to a more hopeful ending.

cam girl / cage girl - jane remover

tho all of the new album is v emotional and good

Blacks - xiu xiu
Apistat commander - xiu xiu

Similar themes, sad songs

The Child We Lost 1963 by La Dispute.

Edward Benz, 27 Times (also by La Dispute) is about an elderly man who’s stabbed by his schizophrenic son. Just reading the name of the song makes me start choking up.

Antlers - Hospice

Eels - Electroshock Blues

Electric President - S/T

Elliott Smith - From a Basement on a Hill

Warren Zevon - Don't Let Us Get Sick

Belle and Sebastian - If You're Feeling Sinister

The Drones - Why Write a Letter That You'll Never Send is the only thing that has actually strongly emotionally resonated with me (cw: suicide). Also, I guess, the entirety of Doopee Time, but for different less obvious reasons.