Mental health is a crucial aspect of overall wellbeing, and anxiety and depression among graduate students have become grave concerns. This study aimed to determine whether listening to music can help graduate students to reduce their depression levels. For the experiment, 1,007 participants were selected from several universities in Guangxi, of which 56 completed the experiment. The participants were divided into a music group (n = 28) that listened to music of their choice for 30 min per week for 13 weeks and a non-music group (n = 28) that did not. After music intervention, the depression levels of the music group participants were significantly lower than that of the non-music group participants. This indicates that music has a significant effect on the depression levels of graduate students and that music could serve as an effective intervention to alleviate their depression.