I've not had that many experiences with this, but I've had a few.
Queen generally have had this effect on me though tbh - I grew up listening to their music, so they shaped the way that I see music, and what I like and dislike...or at least, they did until I discovered classical music and video game soundtrack. So many themes and tones. I mean, I liked Bohemian Rhapsody as a kid because it was a fun and random song...then I found out what the lyrics were actually about when I was a little older and holy shit. But my mind often mentally assigns a Queen song to given moments in life; they have a song for nearly every mood and their songs have changed the way I look at certain things, I think.
But the earliest one for me is Bright Eyes, by Simon & Garfunkel. That was the song that played in Watership Down whenever someone was about to die, and...yeah, it's the song I've always associated with death ever since. It's one I listen to often to relax - which is probably a bit morbid, but let's not go there - and I plan on having it played at my funeral because it feels very much like a "coming full circle" sort of thing, but...idk, I guess it's a pretty heavy thing to process when you're five/six years old. I'd never really thought about things dying - I mean, who does at that age, right? Every child thinks they'll live forever - and that was my first experience with it. I cried quite a bit, and I still get a faint tinge of melancholy whenever I think about it sometimes.
Overcome by Within Temptation is one I used to listen to A LOT when I was a teenager and dealing with my first breakup. It hit me really hard - and came around the time I was expecting exam results that were at the time, to my mind, going to determine my entire future - and listening to it made me feel...oddly better, actually. I drew a kind of strength from it and just...learned to live with it? I kinda started to become more self-reliant after that; my happiness was basically dependant on the moments I could snatch with my partner and we never spoke after that. It sounds pathetic but I was a romantic at that age; I wrote bad poetry, listened to emotional songs about breakup and loss, and was a very sensitive little soul. xD
Edguy's King of Fools was a reminder when I needed it to stop giving a shit about what other people think of me, and to just do my own thing and roll with it. It's a reminder that I still need every now and then, but it was just a song I needed to hear.