It's not exactly cozy or anything but mine is probably Mini Metro. It's just a perfectly crafted puzzle game in every single way, I can play it on my laptop or my phone or my Steam Deck depending on the situation, it's always there and takes enough focus that there's no room to be worrying about life at the same time. Absolute masterclass in audio design which makes it very immersive considering you're just looking at lines and basic shapes.

Or or course as someone else already said, sometimes you just need to blast some bugs in Deep Rock Galactic. For rock and stone!

Big pro of both of these games is you can feel happy about supporting the devs as they're both genuinely awesome, which might help with the whole depressive headspace thing.