I thought depression meant extreme sadness, so why sometimes do I not feel anything at all?

Depression does include increased sadness, but "numbness" is a part of it, as well. What happens is we feel so tired and sick of feeling sadness, that we become still and have no emotion towards anything. That tends to be worse. It's almost like a state of not caring about anything anymore.

Sometimes extreme emotional feelings are too much to bear and your brain might block them. This may cause a feeling of numbness or of feeling nothing at all. To compensate, eventually those buried emotions might be released a little at a time; for others they may later come out in a flood. Having resources and a good support system is crucial in healing from all types of depression.