Music, an integral part of our lives, which is not only a source of entertainment but plays an important role in mental well-being by impacting moods, emotions and other affective states. Music preferences and listening strategies have been shown to be associated with the psychological well-being of listeners including internalized symptomatology and depression. However, till date no studies exist that examine time-varying music consumption, in terms of acoustic content, and its association with users' well-being. In the current study, we aim at unearthing static and dynamic patterns prevalent in active listening behavior of individuals which may be used as indicators of risk for depression. Mental well-being scores and listening histories of 541 Last.fm users were examined. Static and dynamic acoustic and emotion-related features were extracted from each user's listening history and correlated with their mental well-being scores. Results revealed that individuals with greater depression risk resort to higher dependency on music with greater repetitiveness in their listening activity. Furthermore, the affinity of depressed individuals towards music that can be perceived as sad was found to be resistant to change over time. This study has large implications for future work in the area of assessing mental illness risk by exploiting digital footprints of users via online music streaming platforms.