A lot of it is cultural. But there is some theory that it might have to do with the ratios between the frequencies of the notes (imagine a string vibrating). A major third has a ratio of 5:4, while a minor third has a ratio of 6:5. If you look at the harmonic series, the minor third is one step after the major third. Generally, at least in western musical theory, chords that are later in the series (and have more complicated frequency ratios) have more tension and are less pleasing to the ear than earlier ones. Only a little bit, since it’s one step away, but it’s enough that a major third sounds “nice” while a minor third sounds “sad” or “dark.”
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