The sadness in us when we experience any kind of loss is known as grief. It could be the loss of a loved one or the loss of a kitten or even the loss of your favorite watch. When we allow ourselves to express grief, we are pushing out the sadness in us arising from such a loss. Grief is a natural emotion. It is very healthy to grief at the loss of anything that causes grief in you.
However if we don't allow ourselves to express grief at the experience of any kind of loss, or if we are unable to grief because we have been conditioned from young by our parents not to be sad at our experience of any kind of loss, then such repressed grief turns into depression, an unnatural emotion. If grief is continually repressed it becomes chronic depression.
Children who are told, "Don't cry, don't cry" at the experience of any kind of loss, will have hard time crying as adults.
The first step in overcoming depression is to understand that the cause of our depression is repressed grief. Once we have understood that, then we can learn not to repress the grief by allowing the sadness in us to be pushed out by expressing the sadness in whatever way we can - for example, by crying out loud, talking to our loved ones or a friend or a psychologist.