A relationship breaks up. You get passed over for that promotion. A loved one dies. The world at large sanctions your tears, your sadness. You know your days will get better and things will be brighter in the morning.
Depression is distinctly uglier than mere sadness.
There is an ominous oppression that hangs over your body over which you have no control. It is like a black storm cloud that descends only on you, while the rest of the world passes obliviously in sunshine. It rains so hard you can't see outside your sphere. The pressure of the storm is so oppressive you can't breathe. You are engulfed with a helpless, hopeless feeling from which there is no escape.