Kermit the Frog’s version of Hurt does it for me.
Double Trouble does it for me also.
Janis Joplin’s Ball and Chain. Of course, that’s only for when I can get it together enough to wallow in my misery. I guess you are really talking about when people get the “blues.” Real depressive episodes are not nearly as interesting or fun.
Wire– Blessed State
For many years, it was At Seventeen by Janis Ian. I guess it was because I was very unpopular in high school. I’ve been adding to the list over the years.
Joni Mitchell - River
Morrissey - November Spawned a Monster (haven’t listened to this one since my daughter was born, one November day) 
The The - Uncertain Smile
Beach Boys - In My Room
Portishead - Sour Times
Depeche Mode But Not Tonight - for when I’m having a good day
Coldplay - Paradise
life goes on, it gets so heavy
the wheel breaks the butterfly
and the newest one - Imagine Dragons - Demons
Anathema “Crestfallen”
The Cure “Disintegration” (whole album)
Depeche Mode “Black Celebration”
Nine Inch Nails “Something I Can Never Have”
Opeth “Burden”, “Death Whispered a Lullaby”
Porcupine Tree “Even Less”
Storm Corrosion “Drag Ropes”
As an aside, I never held any opinion about Johnny Cash until he recorded NIN’s “Hurt”, as well as Soundgarden’s “Rusty Cage”. He didn’t just cover those songs; he took them by force and made them his bitch.
Hm. Depends on the day, I suppose. My tried and true standards, though:
The Offspring - Have You Ever
Third Eye Blind - How’s It Gonna Be
REM - Low
Shirley Bassey’s All the Sad Young Men.
The Smiths, I Know It’s Over
I second I Know It’s Over by The Smiths.
Everyday Is Like Sunday by Morrissey. or Seasick, Yet Still Docked.
Radiohead’s “Creep” is my go-to song when I’m not digging what life has given me.
Against the Wind by Bob Seger. I want To Know What Love Is by Foreigner is a close second
This guy knows his sh*t. Good stuff.
*No One Ever Is To Blame *- Howard Jones
Hmm I guess I’m not a typical case but… lately Ten and Tracer has been my go to dude…
used to listen to much more Radiohead and Bjork though.
My old friend the blues - Steve Earle
Nada - The Refreshments
And the Band Played Waltzing Matilda- Clancy Brothers
One Light Left in Heaven- Blue Rodeo
You Am I - Heavy Heart
Thank you. (I think.)
Elvis Perkins in Dearland - Shampoo. This is the song when I’m having major troubles. It is just too good. Ugh, I had to listen to it just now to check the youtube link and I’m all emotional. “You are worth your weight in gold; you are worth your weight in sorrow”.
Hurt by Johnny Cash, but followed closely by any Nick Cave song!
Basket Case
Green Day really understand me, man