That’s a really, really good song. It’s not really “depressing”, though. It’s gripping. It’s an epic story-song that gradually builds up to a spooky climax (and I’m not sure if I can think of any other song, ever, that’s quite like it).
Musically, it builds tension by almost never straying from a dominant 7th chord, so that the vocals take precedence over the chord changes and you’re kind of perpetually wondering what’s going to happen next. Kind of like the late great Harry Nilsson’s Lime In The Coconut, which I think literally has just one chord (a dominant seventh which might also add a ninth in some measures, I seem to recall.) The arrangement gets dissonant towards the end.
Strings doing glissandos and pull-offs always do have the effect of sounding like “someone falling.”
Really good song.