Lyrics play a crucial role in affecting and reinforcing emotional states by providing meaning and emotional connotations that interact with the acoustic properties of the music. Specific lyrical themes and emotions may intensify existing negative states in listeners and may lead to undesirable outcomes, especially in listeners with mood disorders such as depression. Hence, it is important for such individuals to be mindful of their listening strategies. In this study, we examine online music consumption of individuals at risk of depression in light of lyrical themes and emotions. Lyrics obtained from the listening histories of 541 Last.fm users, divided into At-Risk and No-Risk based on their mental well-being scores, were analyzed using natural language processing techniques. Statistical analyses of the results revealed that individuals at risk for depression prefer songs with lyrics associated with low valence and low arousal. Additionally, lyrics associated with themes of denial, self-reference, and ambivalence were preferred. In contrast, themes such as liberation, familiarity, and activity are not as favored. This study opens up the possibility of an approach to assessing depression risk from the digital footprint of individuals and potentially developing personalized recommendation systems.