The purpose of this study is to explain the effects of sad music based on psychological, physiological, evolutionary and neurological theory and to provide the psychoeducational use of sad music for self-regulation.. Sad music gives psychological reward of emotional catharsis and the capacity to cope with the acceptance of sadness. In addition, the time of contemplation and insight through sad music is useful for adaptive life in the future, which is consistent with the evolutionary theory of utility of sadness. As psychological rewards and the emergence of emotional mechanisms favorable to evolutionary survival, the benefits of the experience of sadness through music is not pleasure of sadness but regulation of sadness. It is the time for meeting with externalized our own sadness by music and communicating with it when we listen to sad music that reflects our emotion as feeling sad. This process is only possible through the aesthetic experience of music in order to regulate sadness and lead to self-therapeutic results. The aesthetic experience physiologically activate prolaction against virtual sadness of sad music to control sadness and neuroscientifically it prevents activating displeasure of sadness in the corresponding brain area. Most of all the aesthetic experience of sad music controls psychological resistance and defense and induce empathy and absorption mental space for self- exploration and insight. Therefore, sad music for self-therapy must give aesthetic experience, draw empathetic feeling and provide mental space for contemplation.