【Sadness】 , 【depression】 ,  【melancholy】 ,  【melancholia】 ,  【dejection】 ,  【gloom】 ,  【blues】 ,  【dumps】  are comparable when they mean a state of mind when one is unhappy or low-spirited or an attack of low spirits.

【Sadness】 is the general term; apart from the context it carries no explicit suggestions of the cause of the low spirits or of the extent to which one is deprived of cheerfulness.

【Depression】 applies chiefly to a mood in which one feels let down, discouraged, and devoid of vigor or to a state of mind, usually outwardly manifested by brooding, in which one is listless, despondent, or sullen; the term usually implies a precipitating or predisposing cause which may be external but is as often inherent in the nature of the affected individual.

【Melancholy】 often applies to a not unpleasant or displeasing mood or a mental state characterized by 【sadness】 , pensiveness, and deep but not depressing or heavy seriousness.

【Melancholia】 may denote a disordered mental state characterized by a settled deep 【depression】 .

【Dejection】  suggests especially the mood of one who is downcast, discouraged, or dispirited; the term differs from  【depression】 chiefly in its suggestion of an external cause and in its more frequent application to a mood than to a prolonged state of mind.

【Gloom】 applies either to the effect produced by 【melancholy】 , 【depression】 , 【dejection】 , or extreme 【sadness】 on the person afflicted or to the atmosphere which a person of low spirits or a depressing event creates; the term carries a suggestion of darkness and dullness and it further connotes lack of all that enlivens or cheers.

【Blues】  and  【dumps】  are familiar, expressive terms for an attack of low spirits.

【Blues】 may suggest an acute attack of 【depression】 or 【melancholy】 which afflicts one almost as if an illness while  【dumps】 , usually in the phrase in the 【dumps】 , is more likely to suggest a deep sullen persistent 【dejection】 of spirits.