Depression is a state where the predominant emotion one experiences is sadness and is often accompanied by vegetative signs. In bereavement there is a death or serious loss. Depression tends to foster unremitting thoughts of sadness, guilt, and lack of a desire to live. The sadness of bereavement usually comes in waves only when we think about our loss. Depression often produces a state in which persons are unable to effectively perform their job or participate in their family.
Depressions tend to be long lasting, e.g., from months to years.
Finally bereavement is time limited. This doesn't imply that thought about the loss will not sadden, but rather that we are able to pick up our lives and move forward without impairment. Just as you can be a little sad, you can also be a little depressed. Big depressions have been recognized since recorded time. Recent research is showing that people can have minor depressions that last for years.