Music therapists use guided affect regulation in the treatment of mood disorders. However, self-directed uses of music in affect regulation are not fully understood. Some uses of music may have negative effects on mental health, as can non-music regulation strategies, such as rumination. Psychological testing and functional magnetic resonance imaging (fMRI) were used explore music listening strategies in relation to mental health. Participants (n = 123) were assessed for depression, anxiety and Neuroticism, and uses of Music in Mood Regulation (MMR). Neural responses to music were measured in the medial prefrontal cortex (mPFC) in a subset of participants (n = 56). Discharge, using music to express negative emotions, related to increased anxiety and Neuroticism in all participants and particularly in males. Males high in Discharge showed decreased activity of mPFC during music listening compared with those using less Discharge. Females high in Diversion, using music to distract from negative emotions, showed more mPFC activity than females using less Diversion. These results suggest that the use of Discharge strategy can be associated with maladaptive patterns of emotional regulation, and may even have long-term negative effects on mental health. This finding has real-world applications in psychotherapy and particularly in clinical music therapy.