Most of these words are varying degrees of sadness, but there are slight differences. I'm not sure if I got all of these correct, but at least some should be. I wouldn't worry too much about it as I've never had to use even half of these words.
'elendighet' = 'misery'
'bedrøvelse' = 'depresjon' = 'depression'
'melankoli' = 'melancholy'
'sorg' = 'sorrow'
'trist' = 'sørgelig' = 'sad'
'vemod' = 'tristhet' = 'sørgmodighet' = 'sørgelighet' = 'sadness'