This study aimed at determining whether adolescents and young adults use music as an agent of consolation when dealing with daily sorrow and stress. We furthermore tested whether three aspects of music listening, i.e., the music itself, its lyrics, and experiences of closeness to artists and fans, were experienced as comforting. Third, we explored whether consolation through music listening was related to music use and psychological problems. Overall, 1,040 respondents, age 13–30 years (M = 20.3, 70.7% female), responded to items measuring listening hours, music importance, music preferences, positive and negative affects elicited by music (PANAS), internalizing and externalizing problems, and consolation through music. Slightly over 69% reported that they (definitely) use music as a source of consolation. Furthermore, female respondents and respondents with higher levels of anxiousness/depression and lower levels of aggression sought consolation by music more often. The same result emerged for respondents with a preference for chart pop music, for those who found music important, and for those with stronger emotional reactions to music. Music’s consoling effects were reported as resulting particularly from the sound and texture of the music itself, from attribution of personal meaning to music’s lyrics, and, to a lesser extent, from perceptions of closeness to artists and other listeners.