My setback times My challenge times

in my low moments when I’m feeling blue

There are about a million ways to say it. When times are tough. When times are hard. When things aren't going well. When I'm down. When I'm at a low point. Actually, 'setback times' and 'challenge times' do not sound natural. One could say Challenging times.

Hi! Your sentence is accurate and can be used properly! If you want other ways to phrase your sentence instead of “my difficult times,” you can say these as well: “my challenging days” “my rough patches” “my uphill battles” “my tough times”