Veterans commonly report listening to music as a means of self-managing their mental health, yet no research has systematically explored how veterans use music for the purpose of regulating their emotions. In the current study, surveys were completed by 205 Australian veterans (mean age 59.57, SD 0.83), assessing their affective mental health (depression and stress) and related physical and behavioral problems (self-reported general health, alcohol abuse and negative social interactions). Veterans listened to music more in their everyday life than any other leisure activity reported. Music-listening for emotion-regulation purposes significantly contributed to the prediction of depression, perceived stress and negative social interactions, when gender and positive social interactions were controlled. Veterans with mental health problems listened to music for both emotional and cognitive reasons, and the most predictive emotion-regulation strategies used with music were diversion, discharge, and mental work. Music-listening did not however assist prediction of self-reported general health or alcohol abuse. The current findings demonstrate that veterans with higher levels of affective dysfunction listened to music to manage emotional and cognitive problems. Personal music-listening therefore offers substantial promise as a self-management tool to complement professional treatment of affective disorders in this vulnerable population.