Depression is an illness, whereas sadness is an emotion. Sadness is a part of the human experience for everyone. It's usually triggered by a loss or the memory of a
loss. If one takes time to experience the feeling rather than ignore it, it will usually gradually dissipate. This emotion is important for a number of reasons, including helping us understand, by contrast, what it means to be happy.
When someone is depressed, feelings of sadness may not go away, not even briefly and not even once the thing that caused sadness has cleared up or receded. If sadness takes away the ability to experience joy, lasts for more than two weeks, and is associated with physiologic symptoms of depression, it's no longer a normal, transient emotion; it has become the illness of depression.