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.