While sadness is the result of trauma (the lost of someone for example, or in case of a disappointment), patients who are suffering from depression often feel a deep sadness without knowing the trigger of it. Sadness or grief is something which fades, as time heals all wounds. Depression is often enduring through years, cyclic returning, or, in case of manic depression, alternate between a "high" phase and the "deep" phase, whereby maxing out both extremes.
From islamic point of view there is no real difference between sadness, grief and depression. Regardless which hardship are we facing: islam teaches us to seek refuge in Allah:
121. Allahumma 'innee 'a'oothu bika minal-hammi walhazani, wal'ajzi walkasali, walbukhli waljubni, wa dhala'id dayni wa ghalabatir-rijaal.
Oh Allah, I seek refuge in you from grief and sadness, from weakness and from laziness, from miserliness and from cowardice, from being overcome by debt and overpowered by men (i.e. others).
Reference: Al-Bukhari 7/158. See also Al-Asqalani, Fathul-Bari 11/173
But is there any special du'a we can recite in case of sadness or when our soul is overwhelmed from grief and sorrow?
Narrated Abdullah ibn Mas’ood, that the Messenger of Allah [SAWS] said: There is no person who suffers any anxiety or grief, and he/she says:
Allahumma innee ‘abduka,
ibnu ‘abdika, ibnu amatika
Naasiyatee biyadika,
Maadhin fiyya hukmuka, ‘adlun fiyya qadhaa’uka
As alooka bikulli ismin huwa laka sammayta bihi nafsaka
aw anzaltahu fee kitabika, aw ‘allamtahu ‘ahdan min khalqika
Awista tharta bihi fee ‘ilmil-ghaibi ‘indaka
An tajalal Qurana rab’eea qalbee, wa noora sadree
Wa jalaa’a huznee, wa zhahaaba hammee
except that Allah will take away his anxiety and grief, and replace his sorrow with joy. The companions asked: Ya Rasool Allah! Does it befit for us that we learn these words (i.e. this dua)?He replied: Absolutely. Whoever hears of it should learn it.
[Musnad Imam Ahmad]
The Prophet [SAWS] told us that if we find ourselves in a state of sorrow, anxiety, depression or sadness, we should make the afore-mentioned dua. The dua begins with glorifying and praising Allah, then we are instructed to make tawassul (seek a means to get closer) to Allah by asking through all of Allah’s perfect and majestic names…but what is the request after such prolonged praise?
“Make the Quran the life of my heart and the light of chest!”
It’s as if Rasool Allah [SAWS] is saying that if you’re depressed/sad/anxious/sorrowful, then the way to relieve this is to make your life revolve around the Quran! Because once you read the Quran, you will find:
peace and tranquility of the heart [13:28]
physical and spiritual healing (shifaa), and mercy [17:82]
guidance on how to live life, and good news [2:97]
How is it possible for someone who is attached to the Quran to ever be depressed? The heart of the true believer has such a deep trust in Allah, that instinctive understands: whatever hardship he is going through: Allah will reward him for his sabr, and even if facing great losts, he will say "Al hamdoulillah", than whatever comes from Allah, is best for us....
Grieve not, for Allah is with us. [Qur'an 9: 40]
And they say: Praise be to Allah Who hath put grief
away from us. Indeed our Lord is Forgiving, Bountiful. [Qur'an 35: 34]
AL HAMDOULILLAH