As a person battling depression myself, I'd describe depression as the feeling of being stuck in a dark void. A constant feeling of emptiness. You could be laughing one minute and the next, you're on the floor crying and you're not sure why. It feels like you're running in circles, unable to get to the other side. You'd feel tired even though you have had 8 hours of sleep.
I don't associate depression with sadness. With sadness, I cry and feel better. With depression, it feels like your tears are "stuck".