Depression and sadness are both legitimate feelings that anyone that is human should have. The difference for a christian is that we should not allow ourselves to stay or linger in that state of mind.
Many biblical characters went through their state of depression. and/or sadness.
*Job - We all know that story.
"And at the evening sacrifice I arose up from my heaviness ; and having rent my garment and my mantle, I fell upon my knees, and spread out my hands unto the LORD my God." Ezra 9:5.
"But he himself went a day’s journey into the wilderness, and came and sat down under a broom tree. And he prayed that he might die, and said, “It is enough! Now, LORD, take my life, for I am no better than my fathers!” Ikings 19:4.
*David, a man after God's heart, had his share of depressions -
"Why art thou cast down, O my soul? and why art thou disquieted within me? hope in God: for I shall yet praise him, who is the health of my countenance, and my God." Psalm 43:5.
Our Lord and Savior, Jesus Christ, had a similar episode in the Garden of Gethsemane, and so did Peter after he denied the Lord three times.
Peter was so depressed, he fell back into his old trade of fishing when he was supposed to be winning souls.
So if you are a christian and you find yourself falling into a state of depression, follow the example of David,
"...for I shall yet praise him, who is the health of my countenance, and my God." Psalm 43:5.
Let's cutivate the habit of praising Him who has brought us out of farkness into His marvelous light. For He has promised us "...the garment of praise for the spirit of heaviness.” Isaiah 61:1,3