But both these conditions of being sad or being depressed are different. The grieving process is natural and unique to each individual and shares some of the same features of depression. Both grief and depression may involve intense sadness and withdrawal from usual activities. But still they are different from each other in a lot many ways: 1. Feelings In the state of grief, feelings often come in waves, both high and low, intermixed with positive memories of their loss. It may be a deceased person or a departed love, or anything else. In situations of major depression, the mood, interests, and pleasures of a person are decreased consistently for a longer duration of time, at least two weeks. 2. Self-Esteem In grief, self-esteem and self-confidence are usually maintained. In major depression, feelings of worthlessness and self-loathing are common.