"Father is sad."
Translation:Isä on surullinen.
They're not too far from each other, 'murheellinen' is probably a little bit stronger feeling, "sorrowful". If breaking the words into pieces:
- surullinen -> suru = sadness
- murheellinen -> murhe = sorrow, grief
I also feel like 'murheellinen' would be more common in written language, or you can hear that in movies or songs.