Research on the affective phenomena involved in music has grown exponentially over the last 20 years. One particular topic is the use of music for affect self-regulation (i.e., the process of creating, changing, or maintaining affective states). Being a recent field of research, knowledge remains scattered and heterogeneous. An integrative literature review was conducted to present the results from recent research and critically analyse its overall conceptual state. A systematic search of online databases focusing on publications from January 1994 to June 2014 was completed. An extensive screening resulted in the selection of 34 publications, which were analysed with regard to their focus, conceptual clarity, and the results obtained concerning the following levels: goals (G), strategies (S), tactics (T), and mechanisms (M). The findings show that the GSTM levels have not been studied with equal weight and precision. Moreover, additional relevant dimensions of analysis have also emerged. A considerable degree of inconsistency in the use of terms and conceptual imprecision was found across the publications, and the lack of a model aggravated the situation. The main components of affect regulation through music were identified. A compilation of definitions of affective terms and recommendations for future research are presented.