It can be for whatever reason: Their music, something about their lives, something they remind you of.
For me, Jim Croce hits the trifecta. Sad songs. Died extremely young. And he was one of the favorite singers of my first husband, who also died young (not as young as Croce). So every time I hear his voice, I turn into a blubbering mess. Okay, maybe not “Bad, Bad Leroy Brown.” But otherwise!
Am I alone in having one specific artist do this to me?
Full disclosure: As has previously been revealed on these boards, I’m a huge fan of Counting Crows.
However, their lead singer, Adam Duritz, is the most depressing son of a bitch on the face of the earth. Johnny Cash would have told him to cheer up.
James Taylor depresses the hell out of me. Even when his lyrics are upbeat, the tone of his singing tends to be melancholic.
Joy Division - Ian Curtis, so much sadness.
Not every song, but as a package, totally.
Jeff Buckley
Nick Drake
Morrissey. What a miserable bugger he is. But I guess that’s his intention.
The woman who is moderately drunk and has no sense of rhythm whatsoever thinking she could go pro as she karaokes, batting her maybelline eyes as she tries to connect with her audience. Extra points if she has a moment of realization during the chorus and begins to weep.
ETA: With Nick Drake a distant second.
Adele, when she does that “Someone like you” song. For God’s sake, go out and get drunk already, woman!
I know that’s a lot of people’s impression of him, but oddly enough I never got that. I always felt as though he was (and is) a blink away from laughing out loud at the over-the-top kitsch of his whole persona. I take him as, in the words of Mark Prindle, “more snickering cherub than brooding artiste.” 
Joni Mitchell
Beautiful voice, but sometimes it seems like there’s no beginning, middle or end to her songs. Perhaps it stems from being in college 40 years ago, when 8-track tapes were popular, and “Help Me I Think I’m Falling” played non-stop in the dorms.
He depresses me too, but not for the same reason. It’s the fact that this mediocre at best, overpriced at a dime a dozen singer is hailed as a legend when I’ve seen so many incredibly gifted singers who struggled and struggled and never got anywhere.
Oh, yeah. “Time in a Bottle” just tears me apart - and it gets worse the older you get.
Elliot Smith. His life, his death, that song to his mother. 
XO Mom, it’s okay, it’s all right, nothing’s wrong…
I’m never going to know you now
But I’m going to love you anyhow
Ever heard Ben Folds eulogize him?
My answers have already been taken: Ian Curtis and Nike Drake.
I love The Smiths and Morrisey, but while his lyrics and delivery can be a bit mopey, I don’t find them depressing.
Billie Holiday. I can’t listen to more than a few of her songs at a time.
Concurrently or successively?
Operator does it to me.
My pick would be Sam Cooke.
Died way too young and unnecessarily.
Every time that I hear A CHange is Gonna Come I get inspired and depressed.
Definitely Jim Croce and James Taylor. And Sara McLaughlin – I think it’s just her voice. To me, it sounds so tragic and wistful.
Actually, I don’t listen to very much music because most of it either irritates me or depresses me.
