The Great Depression Wasn't Always Sad! Entertainment and Jazz Music Book for Kids Children's Arts, Music & Photography Books Yes, you got it right! The Great Depression Wasn’t Always Sad! There were forms of entertainment that flourished during the era and we still see (and hear) their influence until today! Jazz was invented during those difficult times. If you listen to jazz now, you will notice how light and soothing it is. Maybe that’s the secret for its survival today!