Cuando siento tristeza, escucho música.

Because this is not a direct or indirect question.

• cuando = when
• cuándo = when?

In your sentence, cuando siento tristeza means when/whenever I feel sadness, so it is a normal time clause, not a question.

Compare:

• Cuando siento tristeza, escucho música. = When I feel sadness, I listen to music.
• ¿Cuándo escuchas música? = When do you listen to music?

Spanish often drops subject pronouns because the verb ending already shows who is doing the action.

• siento = I feel
• escucho = I listen

So yo is not necessary here.

You could say:

• Cuando yo siento tristeza, yo escucho música.

But that sounds more emphatic or contrastive, not neutral. The natural default is:

• Cuando siento tristeza, escucho música.

Because sentir and sentirse work differently.

• sentir + noun = to feel something
  
  • siento tristeza = I feel sadness
• sentirse + adjective/adverb = to feel a certain way
  
  • me siento triste = I feel sad

So:

• siento tristeza is correct
• me siento tristeza is incorrect

Natural alternatives:

• Cuando siento tristeza, escucho música.
• Cuando me siento triste, escucho música.
• Cuando estoy triste, escucho música.

It is grammatical and understandable, but in everyday speech many speakers would more naturally say:

• Cuando estoy triste, escucho música.
• Cuando me siento triste, escucho música.

Siento tristeza sounds a bit more abstract or literary because it uses the noun tristeza instead of the adjective triste.

So:

• siento tristeza = correct, slightly more formal/literary
• estoy triste / me siento triste = more everyday

They are close in meaning, but the structure is different.

• siento tristeza = I feel sadness
• estoy triste = I am sad

The first focuses more on the emotion as something experienced. The second describes your state.

In many real situations, they can be translated the same way in English.

Because the sentence describes a habitual or general action:

• Cuando siento tristeza = Whenever I feel sadness
• escucho música = I listen to music

Spanish often uses the present tense for routines, habits, and repeated situations, just like English can use the present in When I feel sad, I listen to music.

If you were talking about one specific past situation, you would use past tenses instead.

The comma separates the introductory subordinate clause from the main clause:

• Cuando siento tristeza, = time clause
• escucho música. = main clause

This is very normal when the cuando clause comes first.

You could also reverse the order:

• Escucho música cuando siento tristeza.

In that version, there is usually no comma.

Because tristeza is being used as an abstract noun in a general sense.

• siento tristeza = I feel sadness

Spanish often leaves out the article with abstract nouns in this kind of structure.

You might see an article in other contexts, for example when speaking more specifically:

• La tristeza que siento es muy profunda.

But in your sentence, tristeza is general and article-free.

Because música here means music in general, not a specific piece or set of music.

• escucho música = I listen to music
• escucho la música = I listen to the music / I’m listening to that specific music

So in this sentence, no article is needed because it is a general activity.

Both can relate to hearing, but they are not exactly the same.

• oír = to hear
• escuchar = to listen

So:

• oigo música = I hear music
• escucho música = I listen to music

In your sentence, escucho is the right choice because it describes the intentional activity of listening to music.

Yes. You can also say:

• Escucho música cuando siento tristeza.

This means the same thing.

The difference is mostly about focus and style:

• Cuando siento tristeza, escucho música. emphasizes the situation first
• Escucho música cuando siento tristeza. states the action first

Both are natural.

In standard Peninsular Spanish, tristeza is pronounced roughly like:

• trees-TE-tha

A few details:

• tri sounds like tree
• ste has a clear e sound, not like English stay
• z in most of Spain sounds like the th in think

So in Spain:

• tristeza ≈ trees-TE-tha

In much of Latin America, the z would sound like an s:

• trees-TE-sa

It can mean either, depending on context, but in this sentence it is best understood as whenever because the sentence describes a repeated habit.

So:

• Cuando siento tristeza, escucho música. can be understood as
• When I feel sadness, I listen to music or more naturally in English,
• Whenever I feel sad, I listen to music

Yes. Cada vez que means every time that, and it makes the repeated meaning even clearer.

• Cada vez que siento tristeza, escucho música.
• Cada vez que me siento triste, escucho música.

This is very natural, but slightly more explicit than cuando.