You may experience some and not necessarily all of the following:
Feeling of helplessness, sadness, uselessness, grumpiness, happy things don't make you happy, you don't want to get out of bed sometimes, insomnia, loss of appetite (in some people it's the opposite, an increase in appetite and they need to eat constantly), you see no point in doing the common things you need to do for yourself (cooking, eating, brushing, bathing... even going to the bathroom is a hassle; instead some people sort for drinking and smoking), destructive behavior like driving recklessly, insulting people for no reason, picking up fights, etc.
When the situation is this bad you need to see a psychologist or even a psychiatrist. You could end up hurting yourself or someone else.
If you don't feel quite like that but you still feel sad and don't know why, you might need to have counseling.