My experience of this was that the sad music could connect to where I was, and once I had connected, I could actually slowly shift my mood by gradually changing the music (had to be gradual though).

I kind of stumbled on that, and it worked for me, though in hindsight I can see how it could be seen as a form of musical therapy.

The really essential point though, is that in order for this to work I had to begin with songs that actually matched my low mood (Radiohead and Portishead seemed to consistently do the trick)... trying to shift out of a low mood by playing a happy song directly did not work - it was just jarring.

I imagine that in doing so I was unconsciously reproducing one of the best impacts of certain kinds of therapy: creating the acknowledgement that yes, I feel the way I feel, that is mirrored by my environment in some way, and it’s not something I need to hide or feel shame about. The music helped me feel that without needing to reveal anything about myself.