Yup, all the time. It helped me validate my issues to myself at first, but eventually it just became an echo chamber to me. I still love my sad music but I'm trying to branch out into feel-good stuff; I just stumbled upon a vaporwave artist, "desert sand feels warm at night", and his stuff is very calming to me. Feels like what I should have been listening to this whole time...
I would listen to artists like stabbing westward, Sleep token, and of course, NIN, for example. Really just soul-crushing music and I abused it instead of treating it as a cautionary tale.