Minor keys don't universally sound sad — that's a learned Western cultural response

Listeners in the Tsimane' people of the Bolivian Amazon, with no exposure to Western music, show no consistent emotional response to minor keys. The association between minor keys and sadness is culturally acquired — not universal. Studies in cross-cultural music psychology have found that rhythm communicates emotion far more reliably across cultures than harmonic structure.

Source: McDermott et al., 'Indifference to dissonance in native Amazonians', Nature (2016)