"Blues" is an indigenous black American music form usually based
around a twelve-bar harmonic pattern: four tonic, two subdominant,
two tonic, two dominant and two tonic. The rhythm is usually a slow
12/8 time. The lyrics are often bewailing personal tragedy or
hardship--singing songs of this kind could be consoling when trying
to live a difficult life.
By extension, "the blues" can mean feeling sad, put upon,
unfortunate or just out of sorts.