Sadness or sorrow can have numerous physical sensations: a lump in one's throat, a sinking unpleasant feeling in one's gut, fatigue, headaches, listlessness, tears. When we are sad, we often find it difficult to experience joy. Sadness is a natural component of grief, loss, being hurt, regret, remorse.
While it is possible for us to become stuck in our sadness if we don't find a way to express it, sadness is not depression. Depression is a clinical term related to one's mental health. Working with a qualified professional is the best way to figure out whether or not someone is suffering a depression diagnosis or has unattended sadness, anger, or fear that needs to be expressed.
Other words for this feeling: upset, desolated, broken-hearted, blue, disturbed, unhappy, down, miserable