A lot of music definitely directly touches my emotions/soul like that, but I'm usually left with bliss rather than depression. But different music triggers different emotions, so it might be that I've just found my right genres. Concerts are one of my favorite things to do.
There is some music that just pisses me off like some pop-country music that's twangy and really stupid, lowbrow lyrics. And a lot of the more angry rap can put me in a bad mood.
Trip-hop, electro-pop, post-rock, dream pop, and a few other genres that are mostly derived from rock and electronica are the ones that work well for me.
And some even goes so far as being able to calm me from meltdowns when it has a fast rhythm, but calming, repetitive lyrics. The fast rhythm is able to catch my fast moving thoughts, and the calm style pulls me down. My go to song for that has always been Plus Profond by Hooverphonic. The refrain is "try not to lose, not to lose control". Throw on some headphones or blast that in the car or room and block out everything and I'll usually calm down.
That said, if I'm doing something that requires intense concentration, there is only certain kinds of music I can listen to and it can't be too loud. Like jazz would drive me nuts in that kind of situation, but in a bar with maybe a couple of drinks in me and spending time with friends, it can be a really fun experience.