Music of the Depression? (5)
I believe the answer is:
blues
I believe this clue is a double definition.
'music' is the first definition.
(blues is a kind of music)
'the depression?' is the second definition.
(blues is a kind of depression)
'of' is the link.
(Other definitions for blues that I've seen before include "Jazz classic (2,5,5) - See 9" , "Feeling of sadness or depression" , "US music style" , "Melancholy music of Black American origin" , "Melancholic music of black American folk origin" .)