This study explores listeners’ experience of music-evoked sadness. Sadness is typically assumed to be undesirable and is therefore usually avoided in everyday life. Yet the question remains: Why do people seek and appreciate sadness in music? We present findings from an online survey with both Western and Eastern participants (N = 772). The survey investigates the rewarding aspects of music-evoked sadness, as well as the relative contribution of listener characteristics and situational factors to the appreciation of sad music. The survey also examines the different principles through which sadness is evoked by music, and their interaction with personality traits. Results show 4 different rewards of music-evoked sadness: reward of imagination, emotion regulation, empathy, and no “real-life” implications. Moreover, appreciation of sad music follows a mood-congruent fashion and is greater among individuals with high empathy and low emotional stability. Surprisingly, nostalgia rather than sadness is the most frequent emotion evoked by sad music. Correspondingly, memory was rated as the most important principle through which sadness is evoked. Finally, the trait empathy contributes to the evocation of sadness via contagion, appraisal, and by engaging social functions. The present findings indicate that emotional responses to sad music are multifaceted, are modulated by empathy, and are linked with a multidimensional experience of pleasure. These results were corroborated by a follow-up survey on happy music, which indicated differences between the emotional experiences resulting from listening to sad versus happy music. This is the first comprehensive survey of music-evoked sadness, revealing that listening to sad music can lead to beneficial emotional effects such as regulation of negative emotion and mood as well as consolation. Such beneficial emotional effects constitute the prime motivations for engaging with sad music in everyday life.