Researchers at Durham University, UK and the University of Jyväskylä, Finland, said their findings could have implications for how music therapy and rehabilitation could help people's moods.
The musicologists looked at the emotional experiences associated with sad music of 2,436 people across three large-scale surveys in the UK and Finland.
They identified the reasons for listening to sad music, and emotions involved in memorable experiences related to listening to sad music.
Writing in the prestigious scientific journal PLOS ONE, the researchers said that the majority of people surveyed highlighted the enjoyable nature of such experiences, which in general lead to clear improvement of mood.
The researchers said that listening to sad music led to feelings of pleasure related to enjoyment of the music in some people, or feelings of comfort where sad music evoked memories in others.
However, a significant portion of people also reported painful experiences associated with listening to sad music, which invariably related to personal loss such as the death of a loved one, divorce, breakup, or other significant adversity in life.
The research was funded by the Academy of Finland.
Lead researcher Professor Tuomas Eerola, Professor of Music Cognition in the Department of Music, Durham University, said: "Previous research in music psychology and film studies has emphasised the puzzling pleasure that people experience when engaging with tragic art.
"However, there are people who absolutely hate sad-sounding music and avoid listening to it. In our research, we wanted to investigate this wide spectrum of experiences that people have with sad music, and find reasons for both listening to and avoiding that kind of music.
"The results help us to pinpoint the ways people regulate their mood with the help of music, as well as how music rehabilitation and music therapy might tap into these processes of comfort, relief, and enjoyment.
"The findings also have implications for understanding the paradoxical nature of enjoyment of negative emotions within the arts and fiction."
Study co-author Dr Henna-Riikka Peltola from the University of Jyväskylä, in Finland said sad music led to mixed emotions.
Dr Peltola added: "There seem to be two types of enjoyable experiences evoked by sad music listening.
"In these instances, music is typically the central source of these experiences, and aesthetic qualities were very much involved in the experienced pleasure.
"Alternatively, sad music is also associated with a set of emotions that give comfort to the listener, and where memories and associations play a strong part of making the experience pleasant. These experiences were often mentioned to confer relief and companionship in difficult situations of life.
"However, a large number of people also associated sad music with painful experiences. Such intense experiences seemed to be mentally and even physically straining, and thus far from pleasurable."
The three types of experience associated with listening to sad music (pleasure, comfort and pain) were found across the different surveys.
The researchers added that experiences of enjoyable sadness were not affected by gender or age, although musical expertise and interest in music seemed to amplify these feelings.
Older people reported stronger experiences of comforting sadness, while strong negative feelings when listening to sad music were more pronounced for younger people and women.
Each type of emotional experience associated with sad music could be connected to a distinct profile of reasons, psychological mechanisms, and reactions, the researchers added.
Professor Eerola added: "We think that this demonstrates well the functional nature of these experiences.
"Although the positive experiences seemed to be the most frequently associated with sad music, truly negative experiences are not uncommon in any of the samples in our research."
Commenting on the study Professor Jörg Fachner, Professor of Music, Health and the Brain, at Anglia Ruskin University, who was not part of the research team, said: "This study confirms that music therapists can work with authentic experiences when using music representing the sorrowful and painful content of sad life events such as the death of a spouse or child.
"Some people enjoy sad music and derive a lot of comfort out of such music in certain situations but when a particular piece of music becomes a container for a negative emotion related to a personal or environmental challenge, a music therapist would carefully start working on its representations.
"A skilful, trained music therapist can sense and adapt to the individual meaning of the sad music representing negative experiences and memories as described in this study."