As stated in this video, there is more to depression than just feeling sad. With general sadness, feelings will change with circumstances. However, depression is a continual sense of despair, and hopelessness, that is usually always there on some level. In addition, this depression can show up through suicidal thoughts.
Depression does not go away simply because the individual wants it to, or because they are participating in something they used to enjoy. This can be extremely frustrating for the individual, and family members who are wondering why they can't "snap out of it".
Depression makes it difficult for the individual to be able to go to work, participate in school and complete general life tasks. This is also accompanied by physical changes in the brain that causes depression.
In summary, depression has a physical cause, and by placing demands on the individual to feel better, it can create a greater sense of guilt and isolation.