People who have never experienced depression sometimes seem to view it as a sort of intense or prolonged sadness, but I think this is a misconception. Having been depressed myself, and talked to and read the accounts of numerous others, I feel very firmly that the two are not as closley related as people sometimes believe. Sadness is an emotion, a feeling, and depression is much more than a feeling, more of an all-encompassing state of being.
A depressed person can feel a wide range of emotions, or lack thereof. Some people can be depressed and still feel good or happy some of the time. In some cases, the happy feelings can feel distant or blunted, even if they show outwardly on a person's face. In other cases, a person may feel genuinely happy, quite often, but then later on, shuts out the memories of the earlier happy feelings.
Depression sometimes involves feelings of sadness, as well as other feelings like frustration, anger, shame, guilt, stagnation, agitation, annoyance, hostility, stress, or other feelings that aren't exactly the same as sadness. But when depression becomes very severe, often the feelings vanish entirely, and all that is left is a numbness, a lack of feeling.
I've heard people describe that, when in this state of numbness, even the most bitter emotional pain can feel intensely liberating. Imagine being unable to cry, and then feeling the release when you can actually cry. This may explain why some people find behavior like self-injury offers a release from depression. In my own experience, sadness, even intense sadness, is a much more positive feeling or experience than my most troubled moments that I've experienced during depression.
These things all point to how sadness and depression are two very different things.