Possible Clues:

• Music of the Depression?
• Low spirits, as experienced by St. Louis's hockey team?
• Depression displayed by old cavalry regiment
• E.g. Manchester City play them when down?
• A sad song from the Royal Horse Guards
• Feelings of sadness or melancholy
• Sort of music Royal Navy may exemplify?
• Bout of depression
• Sad football team?
• Left university in ancient city in a depressed state