I don't really think of "comfort food" the way a lot of people do, which is food they apparently think is an "evil" treat in which they indulge in order to feel better. (For example, some people like their mother's home-made macaroni and cheese - or something like that.)
When I use food for a "down" mood, I more use it as if it were medication. A big load of salt is what usually makes me feel better, so I'm likely to have some broth with that big load of salt dumped into it. If salt isn't what I feel like I need, I tend to go for the fat that comes with eggs scrambled in margarine (with lots of salt and pepper on them). Another "good" source of fat is using lots of light cream in a cup (well, actually - a lot of cups) of coffee (not too strong).
If it weren't for salt and all that coffee with light cream in it, I probably would have killed myself years ago! (Oh.... just kidding)