Midnight Express Edit:Oh Man I thought that said movies! I can't think of any music to contribute. Be back.
While some music has a kind of melancholy or pathos to it, it doesn't make me depressed. Too beautiful. Adagio for strings (in this case, the Agnus Dei version) https://youtu.be/KkObnNQCMtM
I should add Chopin Nocturne No 20 In C sharp minor to the list too. It's full of sadness. It is the second song coming from Chopin to depress me https://www.youtube.com/watch?v=_hyAOYMUVDs