Researchers at the University of Pittsburgh School of Medicine carried out a study in 2011 that gauged the depression statistics of teenagers based on the amount of time they spend consuming different forms of media. There was a total of 106 participants aged between 7-17 who were closely monitored for 2 months; 46 of whom had been diagnosed with depression previously.
They found out that teens who spend most of their time listening to music were 8.3 times more likely to be depressed as compared to those who did not spend most of their time listening. On the contrary, and this may not be the first time every teenager hears this, students who read books the most were found to be a mere 1/10 times likely to suffer from depression.
Music contributed to the most depression risks of all the media reported (TV, movies, Internet, video games and printed media). However, this is not to say that music leads to depression for everyone: for some, it might prove beneficial.