This research explored both social context and personal characteristics in relation to being saddened by sad music when in a sad mood. Overall, 1686 respondents (aged 12–16 years; 44% female; 68% vocational training) answered questions about their background, social context (family climate, bullying issues), personal characteristics (depressive mood, self-esteem, social comparison style), and the degree to which they were saddened by listening to sad music. About 17% of the participants reported saddened mood as a consequence of listening to sad music when sad. Multivariate linear regression results revealed that female respondents and those who reported elevated levels of depressive mood and negative social comparison to peers were more likely to feel saddened. These young people further showed strained peer relations, as indicated by being bullied on social network sites and the Internet. Harsh family climate and low self-esteem correlated with the saddened mood-inducing effect of sad music, although they were not significant in multivariate analysis. This pattern of person and context relations with saddened mood was identical for girls and boys. Adolescents generally seek music that is mood-congruent; however, this research questioned whether adolescents with problems should dwell on music that reflects their unhappy state, as this may worsen their mood.