I think "I Didn't Understand" is his saddest song
As someone who has dealt with major depression half of my life, this is the song that resonates the most with me. I think it perfectly encapsulates the feeling of major depression. Especially the lines "Cause my feelings never change a bit, I always feel like shit, I don't know why, I guess that I just do". Sometimes you don't have a reason for why you are the way that you are and I think people who have this illness are the only ones who can truly understand that.
And "You once talked to me about love, and you painted pictures of A never-neverland...and I could've gone to that place, but I didn't understand" That no matter how much love somebody can show you and how nice it sounds, you inevitably will ruin it. It's self-sabotoge and you have nobody to blame but yourself. It's the acceptance that you will never beat this thing. Every line hurts to hear but it's painfully beautiful and honest. I relate to it so much and it makes me cry every time. His music has always been like a warm blanket to me and he articulates the feeling so perfectly