Sadness and depression are not the same thing, although depressed people do usually feel sad. Sadness is a response to loss, and is the way our psychological systems deal with and "process" this loss. Depression, on the other hand, is a medical condition in which a person suffers from almost constant and profound feelings of sadness and lethargy which do not go away over a period of more than two weeks, and which are not due to some external cause such as bereavement.
Sadness is an emotion that affects everybody. Some days you just feel "blue", and it is hard to say why. Changes in mood are normal. This does not mean the sadness has no cause. Losses big and small are a part of every life and everyone has cause to feel some sadness about things in their life. Feeling sad is not necessarily something that should be resisted at all costs. We need some sadness, just like we need all our emotions. However, we can learn to manage our sad moods in order to make it less likely that they will turn into an actual depression.
The following are some ways of dealing with sadness that are generally positive.
On the other hand, the following responses may make sadness worse:
Grief is the process we go through when we lose something important to us. The most obvious example is bereavement, when a person we love dies. But grief can also occur for any important loss, such as the loss of a cherished dream, loss of one's homeland (for example, migrants and refugees), or loss of physical health. The sadness we experience in response to a loss can look a lot like depression, but it is not the same thing. Anti-depressants, which are effective in treating depression, are not effective in removing the sadness of grief.
There is no "right" way to grieve. Many people feel anger and guilt as well as sadness. Sometimes people feel nothing at all for a long time, and this can make them feel guilty, as if they "should" be feeling more. The length of time that it takes to get over a loss can vary widely too. It is wrong to assume that a person will be over their grief within six months or even a year. People grieve for as long as they need to.