Despite the paradox inherent in the idea that sad music could make people happier, research indicates that an improved mood is amongst the primary motivations that people give for listening to sad music. However, it is not clear whether listeners are always able to achieve such aims. This article reports a study in which 335 participants listened to a piece of self-selected sad music. Before and after-measures of mood were taken, and participants also completed psychometric scales of rumination, absorption and reflectiveness. It was found that both ruminators and non-ruminators had significant increases in depression after listening to self-selected sad music. Furthermore, ruminators did not systematically report that they expected to benefit from listening to sad music, contrary to the literature. Results support the hypothesis that listening to sad music is related to maladaptive mood regulation strategies in some listeners.