@MadCatter In my opinion, sadness what leads to depression.
Sadness is an instant feeling that you feel right there and there because of something, just like happiness, being scared, or being shocked. Something happens and you feel it but it's a temporary thing that you just feel for a short while and it leaves you.
Depression on the other hand is what I think more of severe sadness that lasts for a prolonged period. It can happen because a lot of things happened to you and you were constantly feeling sad because of these events. Or it can happen because of a traumatic experience that you are left being very very sad. Depression doesn't go away like just other fleeting emtion. You could think it went away but you realise it really didn't and it comes back to you to remind you of it. You could feel depressed because of something or nothing at all. It could last for 30 minuites or for months or years. It could have a regular cycle or none.
Feeling sad after watching a movie won't make you want to kill yourself but prolonged depression would.