There are many references to why the blues feels so good. Sad songs can say things that are deep and poignant with a feeling of ease. Within the very best of the blues and of sad songs, the pain changes (because of the music) into something lighter.
The lightness and ease come to be because of the musical form given to those feelings. Within the organization of the words and notes, the world of sadness becomes logical and sensical. When I oralize the sound of an old slide guitar on the front porch of a beat down house with dust swirling around, I can feel the pain of desolation and thoughts expressed through the sounds. It is enlightened by the beautiful, dark sound of grittiness and of a life truly lived. Because without the pain, are we really living?
At their best, sad songs are the unity of pain and peace, defeat and rising up, sadness and joy. Many of us hope to make sense of the world as having darkness and pain as well as sunlight and pleasure. There is great strength in the acknowledgement of the pain of life and immense joy to be found as we pierce through the veil. Sad songs point to a critical question in our existence. What do we do with our pain and disappointment? Do we use it to find more meaning in things and people? Or do we use it to feel the whole world is screwed and rebel or retreat?
The blues and sad songs are an act against depression, even as the lyrics and tone may describe a depressed feeling. There is that desire to have something stronger and more beautiful, and that desire itself gives us power and beauty. The greatness in a song that speaks your truth is that it can bring the light.