Depression is not about an event, situation or a specific loss. It spreads over all your life like a gas chamber. It sucks your energy, making you feel tired and lethargic. Making you feel either too sleepy or deprives you of sleep; your appetite is skewed either way. You feel no more enthusiastic about the hobbies and interests that once gave you pleasure.
However, sadness is different from depression. It is specific to an emotionally difficult situation. A person bounces back once this phase fades off.
Know more about the differences between Depression and Sadness here.