The recent surge of interest towards the paradoxical pleasure produced by sad music has generated a handful of theories and an array of empirical explorations on the topic. However, none of these have attempted to weigh the existing evidence in a systematic fashion. The present work puts forward an integrative framework laid out over three levels of explanation – biological, psycho-social, and cultural – to compare and integrate the existing findings in a meaningful way. First, we review the evidence pertinent to experiences of pleasure associated with sad music from the fields of neuroscience, psychophysiology, and endocrinology. Then, the psychological and interpersonal mechanisms underlying the recognition and induction of sadness in the context of music are combined with putative explanations ranging from social surrogacy and nostalgia to feelings of being moved. Finally, we address the cultural aspects of the paradox – the extent to which it is embedded in the Western notion of music as an aesthetic, contemplative object – by synthesising findings from history, ethnography, and empirical studies. Furthermore, we complement these explanations by considering the particularly significant meanings that sadness portrayed in art can evoke in some perceivers. Our central claim is that one cannot attribute the enjoyment of sadness fully to any one of these levels, but to a chain of functionalities afforded by each level. Each explanatory level has several putative explanations and its own shift towards positive valence, but none of them deliver the full transformation from a highly negative experience to a fully enjoyable experience alone. The current evidence within this framework ranges from weak to non-existent at the biological level, moderate at the psychological level, and suggestive at the cultural level. We propose a series of focussed topics for future investigation that would allow to deconstruct the drivers and constraints of the processes leading to pleasurable music-related sadness.