It is a Correlation, but it can be used to show music causes depression as a trend in the population. So, music may not just make you sad reflexively, but it is directly related with something that does

It's been a minute since I took psych research design, but

This is an anova analysis. Yeah, the mechanism could be anything internal or external, but if you found a proposed mechanism the amount of music, the depression and the degree of exposure to the mechanism would all be directly correlated in a random sampling of a population representative of the whole. So if something related to music listening causes more depression, listening to more music in a vacuum would not increase depression, but in your sample of the population it would show a direct increase in depression as well as a direct increase or decrease in exposure to the mechanism. Let's say the mechanism is spending more time alone increases depression. Everyone listening to more music would mean more time alone in aggregate, resulting in increased depression in your population

If everyone started listening to more music, many would spend more time alone and be more depressed. It causes depression as a trend, not in a vacuum. When they say "causes" they don't mean like how a bright light causes you to blink.

If eating beans is shown to correlate with shitting your pants with an anova analysis and the mechanism is increased gas build up, eating beans still causes increased pant shitting overall in the population. And decreasing bean consumption would mean less pants shit