Music in the Depression (5)
I believe the answer is:
blues
This clue is a double definition.
'music' is the first definition.
(blues is a kind of music)
'depression' is the second definition.
(I know that blues is a type of depression)
'in the' is the link.
(Other definitions for blues that I've seen before include "Type of American folksong" , "Conservatives" , "colours" , "Oxbridge athletes" , "Lady Sings the - - (film)" .)