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Depression has emerged as a significant mental health concern due to a variety of factors, reflecting broader societal and individual challenges. Within the digital era, social media has become an important platform for individuals navigating through depression, enabling them to express their emotional and mental states through various mediums, notably music. Specifically, their music preferences, manifested through sharing practices, inadvertently offer a glimpse into their psychological and emotional landscapes. This work seeks to study the differences in music preferences between individuals diagnosed with depression and non-diagnosed individuals, exploring numerous facets of music, including musical features, lyrics, and musical networks. The music preferences of individuals with depression through music sharing on social media, reveal notable differences in musical features and topics and language use of lyrics compared to non-depressed individuals. We find the network information enhances understanding of the link between music listening patterns. The result highlights a potential echo-chamber effect, where depression individual's musical choices may inadvertently perpetuate depressive moods and emotions. In sum, this study underscores the significance of examining music's various aspects to grasp its relationship with mental health, offering insights for personalized music interventions and recommendation algorithms that could benefit individuals with depression.