Let us first define the difference. In sadness you accept without self-pity a painful fact of life as something beyond your power to change. When you are truly sad, without depression, you not only feel it as a healthy growing pain free of hopelessness, but you are sad due to an outer circumstance, knowing it is going to pass. There is no superimposition, no hiding, no shifting of emotions. In depression the outer circumstance may be the same, but your feelings of pain are, to quite an extent, due to other reasons than the outer occurrence.