I've heard you need clickbait titles to catch the interest of internet strangers, and this one is right on the money.
So hello there, let me tell you about how country music is going to kill you.

There's a short and sweet paper from the early nineties that has played with the problematic of the link between country music and suicide rates (The Effect of Country Music on Suicide by S. Stack and J. Gundlach; 1992), and it tells you exactly what you'd expect to hear — repetitively being told that life is misery, your woman has left you, and only your bottle of liquor is ever going to be there for you tends to have a negative effect on your mood. The authors of this study analyzed the suicide rates of white males in 49 large metropolitan areas of the USA and bid them against the proportion of radio airtime devoted to country music, as opposed to any other genre. What they found is that there exists a significant correlation between these proportions (p<0.05).
I know what you're thinking — there are other factors to consider, such as poverty, gun availability, divorce rates, ... you'd be right, but also wrong. It turns out that structural poverty wasn't related to the prevalence of country music on the radio, but both divorce rates and gun availability were. The lack of good correlation with the rate of poverty leads the authors to conclude that country music had — at their time of writing — diffused across the spectrum of social classes.
There's one thing you might have glossed over: it's known that white males account for the great majority of suicide cases in the USA, and firearm-aided attempts are the most common way to go about it (see AFSP), so it would make some sort of sense to measure this correlation to the dissemination of a music genre where talk of guns, alcohol and misery often go together. However, upon looking at the black male population, no correlation could be found. Is this effect something that stems from a particular cultural background? Maybe, but as it scatters over many social classes, this factor becomes less relevant.

Every now and then, a news story will pop up about the mimicry of fictional suicidal behavior presented in the media — similarly to the hypothetical link between violent video games and violent behavior. It turns out that these statements seem to be unfounded, whereas the continual exposure to country music, which with its themes tends to reinforce suicidal mood, may indeed pose a relevant factor (see the paper on Media coverage as a risk factor in suicide).
How about other genres of music, are there some that may be comparable to country music? A survey on Popular Music: Emotional Use and Management hints toward maybe not. For an audience of prevalently rock and pop music listeners, their favorite choice of music provides them mostly with feelings of happiness, excitement, and love.

There's one more angle from which you could look at this: are you more likely to enjoy country music if you already have suicidal tendencies? A study titled What Do Musical Preferences Reveal About Personality shows that there may exist a consistent correlation between self-reported music preferences and personality. The individuals who proclaimed a preference toward country music tend to be more neurotic and extroverted than those who prefer other music genres (such as rock or classical music), and much less open to new experiences. Now you know that by sharing your music preferences with the world, the best you're doing is typecasting yourself.

Conclusion? If you're suffering from depressive moods, avoid country music. And take a look at my quick coverage of how exercise can prevent feelings of depression, several years in advance: Exercising is investing in your mental health. No, really..

Bonus fact: The authors of the study The Effect of Country Music on Suicide are also proud recipients of the 2004 Ig Nobel Prize in medicine.

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