Here is a powerful dua from Prophet Muhammad (PBUH) for depression and sadness.
If you are feeling depressed or sad, recite this beautiful dua as reported in Sunan Ahmed.
Dua
“O Allah, I take refuge in You lest I should commit shirk with You knowingly and I seek Your forgiveness for what I do unknowingly.” Sunan Ahmed.
It is recited beautifully by Saad Al Qureshi and repeated throughout.