depressive songs > sad songs. sad implies a previous happiness + a discrete triggering event causing the sadness (a breakup, death, etc.) depressive is an ongoing state of mind/being with neither triggering event nor clear resolution/end. it has always and will always be this way

sad: sufjan stevens (mother's death), the national (living in ohio), bjork (divorce from Matthew Barney)
depressive: grouper, microphones/mt. eerie, broadcast, tim hecker (source unclear; there may be triggering events, but they just compound an already existing depressive pov)

depressive artists also tend toward being "entire discography" artists, where each release opens up another window into a single manse, so to speak. the concept of 'singles' doesn't usually register for them. you'd probably do best to just let them work however they see fit

best not to talk abt melancholic songs - which may appear the same as depressive songs but on closer inspection there's no weight or sense of lived life, like a victorian writer's passing ruminations on the impermanence of beauty. riyl fleet foxes, father john misty, decemberists

owen pallett: depressive. arcade fire: melancholic. of montreal: this is a tricky one. depressive DISGUISED AS melancholic. the theatricality is a defense mechanism