Guest (What about etymology?): "The blues" in the sense of depressed spirits goes back to the 18th century. It was originally short for "blue devils"; there was a tradition that being depressed was the result of being attacked by blue devils. I have seen an old cartoon showing the process.

The people who sang the blues must surely have been aware of that meaning from the beginning, tho of course once the term became the name of a musical genre it might easily have been broadened. In particular, in lines of the form "I've got those X blues", X (AFAIK) is always something depressing.