There are important differences between sadness, grief, and depression, and each one calls for a different response.
Sadness is a normal, healthy part of life. Many things cause it: disappointments, losing something important, negative thoughts, and so forth. We often want to just get rid of sadness or avoid it by distracting ourselves. Unfortunately, this makes it last longer and even makes the problem worse. The best thing we can do when we get sad is to let ourselves feel it and know that it will pass on its own.
Grief is also a normal part of life. When we lose someone important through death or divorce, we go through grieving. The terrible sadness we feel shows how important that person was to us. If we don't push grief away, it also will pass, and we will no longer feel so empty. Grief after a death lasts a long time, so it is important to have caring people to talk with.
Depression is a medical illness. Even though it feels almost just like sadness or grief, the brain and brain chemistry are involved in a very different way. Unlike sadness or grief, depression does not go away naturally. Someone with depression may feel worse when well-meaning loved ones say to cheer up, because the person is biologically unable to do so. Medication may help, and is often used only temporarily. It is not a “crutch,” but more like taking thyroid medication.
Understanding these differences helps in finding good solutions. Since it can be so difficult to tell which is which, see a therapist or a doctor if you feel concerned.