Unlike jealousy or anger, a mild depressed state is not intimately associated with a motive for action, and this is a likely reason for it being under-represented in drama. The journey of King Lear could be seen as a state of depression seeking forgiveness and redemption, although it is arguably pathological; Hamlet is often described as a consummate melancholic. Many of the works of Anton Chekhov, such as Uncle Vanya, involve either depressed mood or clinical depression. On the other hand, sorrow and regret perhaps occur much more commonly in literature, and tragedy, where the audience or readers may share the sadness or despair of the characters, is seen as one of the greatest of art forms and perhaps the most profound. The films and plays of Ingmar Bergman cover both bereavement (as in Virgin Spring) and depressed mood (Wild Strawberries).

One of the most famous examples of depression in literature is Goethe's The Sorrows of Young Werther, and for this reason it is referred to in Frankenstein. A similar example in music is Schubert's Winterreise, a setting of poems by Wilhelm Mueller. See also Melancholy.

A Pietà is an example of the representation of grief and sorrow in Christian art. Self-portraits of Frida Kahlo often show her depressed state. Many more examples could be added.