Granted, depression involves sadness, at least to describe it generally. I certainly feel what others would call sadness when I'm in a depressive cycle. But to those who have experienced it, it's very distinctly "depressed", as opposed to "sad." A lot of the "symptoms" are the same. With both sadness and depression, I am bound to break into crying bouts randomly. I feel "down", for lack of a more descriptive word. The air feels thicker. And certainly, I'm lacking energy in both states. However, depression manifests itself in ways sadness does not.
When you're strictly sad, there's a reason. My dog passed away and I'm sad. I miss someone, I'm sad. And maybe I mope, or cry. The sadness is in the forefront of my brain. With depression, I feel an overwhelming weight pulling me downward. I cry. Often uncontrollably, out of nowhere. I feel a loss of hope. And sometimes, of worth. It effects me physically. Exhaustion takes over. My body hurts. My stomach feels nervous and sometimes painful. And the worst part of it is, I can't discover the reason. Or rather, the reason is simply depression, looming over me, all around me, instead of right in the center of my thoughts. Depression is an emersion.
When I'm depressed, people will ask me what's wrong (if I'm lucky). My answer is: I'm depressed. They'll ask why I'm crying. My answer: I'm depressed. They'll ask what I could do to make it better. My answer: Not be depressed. When I'm sad, the comfort of others often helps. When I'm depressed, I want the world to vanish until I cycle back around. I have an overwhelming need to be alone, while still wanting others to care enough not to give up on me.
Of course, you can be depressed and sad at the same time, and sadness, especially after a difficult life event, can spiral into depression. The two are not mutually exclusive, nor one in the same. The biggest difference is simply this: sadness is a natural part of being human. Depression is a diagnosed medial condition. Virtually everyone experiences sadness throughout their lives. They do not all experience depression. For which I'm glad. I wouldn't wish depression on my worst enemy.
So please, if you know someone with depression, take care when telling them you understand because you were "depressed" when xyz. While there can technically be episodes of depression after a traumatic experience, most likely if it was an acute feeling that went away and didn't come back, it was sadness. And this is not to take away from sadness - it's a terrible feeling. But it isn't depression. And this misconception that it is tends to lead to so many infuriating suggestions such as: you need to just snap out of it, or maybe if you smiled more it'd help, or just look on the bright side. Trust me, if we could, we would.