We all get sad sometimes, and we are usually aware of the reason. Had a fight with your best friend, lost your favourite thing... that's sadness, in general.
As for depression, as least the way I see it, one does not know the reason why one is down. You could be in Maldives, floating on crystal clear water, away from all concerns of life, sipping a pina colada... and yet feel an overwhelming sense of sadness. And you do not know why.
It can be posited that there are still reasons, perhaps deep-seated issues, that have been repressed... But to the person experiencing depression, it is simply a loss of logic as to why one can feel as such.