Reaching for a heartbreak song on your worst day sounds backwards. But your brain doesn't read it as a threat, it reads it as being understood. When the sadness in the song matches yours, you stop feeling alone with it.
Researchers call this perceived empathy. The singer feels like they know exactly what you're going through, even though they don't know you exist. It works a lot like a friend actually listening, just more available at 2am.
Forcing a happy song too early can backfire, it clashes with what you're feeling and makes things feel more isolating, not less. Matching the sound to the mood first, then letting the shift happen on its own, tends to work better.