i think sadness and depression are quite different, for me anyway. i don't think they're mutually exclusive though.
when i feel sad, i'm often tearful and low, but there's usually a good, understandable reason behind it. i can feel sad and happy at the same time, like when i said goodbye to Main House i was terribly upset and found it quite difficult to cope, but i also felt grateful for having had the experience and quite positive. it's like, i think you can be very sad about things from your childhood and it's totally understandable. like grief and loss.
i think if you're not supported when you're feeling immensely sad, or getting the things you need, or you're without adequate inner resources, then it can turn into depression, which to me is the inability to really think. it feels like a demon sitting on your chest, draining your energy and making you not feel passionate about anything. it's difficult to really explain why you're depressed, in my experience. it's when everything is just so overwhelming that you mentally shut down.
i think sadness is blue, and depression is thick black.
I think there's definitely a difference between sadness and depression. Sadness is more of an emotion whereas as depression is a state and can be an illness. You can also be depressed without being sad or sad without being depressed. I'm not really sure how to describe it but I definitely think what Laura said about sadness being blue and depression thick black is definitely correct.
For myself, I wonder... sadness is conscious awareness of grief and loss for what I didn't have growing up and for what is missing in my life now. It's a... mindful state. Depression.. which I am just now emerging from decades of... is more of a state of being suffocated by sadness, so much so that I withdraw from the world and relationships, and develop all kinds of defences from the sadness inside of me that I couldn't face.
But then one can approach depression consciously, at a certain point, anyway. Maybe that's the point where recovery begins...
In my view, it's far harder to escape from depression. Sadness floats upon the surface of your conscious self, occasionally pervading the layers beneath. Depression seems to rise up from the unconscious, it's at its worst when you are consciously aware of it. Sadness passes, you can distract from sadness. It's not a part of your personality, but I believe that depression is an element of some people's personalities.
I think you can feel both at the same time, they're certainly not mutually exclusive, but they are certainly not the same.