Anhedonia

sadness is a big blanket term, melancholy refers to just general gloominess

So sadness is the general term?

Yes
Being sad could refer to simply being upset over losing a game or it could be kicking and screaming and crying

Ah I see
So I suppose melancholy is deeper than that?

Melancholy is more specific
Melancholy isn't a type of sadness that makes you howl and scream it just makes you sullen and depressed
Sadness refers to any emotional pain

I’d guess melancholy is similar to feeling numb?

I would say numbness and melancholy go hand in hand

Meaning?

They often occur with each other

ah