Sadness is sometimes referred to as depressed mood. However sadness is a common but not essential feature of clinical depression.
Brene Brown Atlas of the Heart p. 102
We want to be held by or feel connected to someone who has known that same ache, even if what caused it is completely different. We don't want our sadness overlooked or diminished by someone who can't tolerate what we're feeling because they're unwilling or unable to own their own sadness.
Brene Brown Atlas of the Heart p. 108
We're Hurting