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Sadness has typically been associated with failure, defeat and loss, but it has also been suggested that sadness facilitates positive and restructuring emotional changes. This suggests that sadness is a multi-faceted emotion. This supports the idea that there might in fact be different facets of sadness that can be distinguished psychologically and physiologically. In the current set of studies, we explored this hypothesis. In a first stage, participants were asked to select sad emotional faces and scene stimuli either characterized or not by a key suggested sadness-related characteristic: loneliness or melancholy or misery or bereavement or despair. In a second stage, another set of participants was presented with the selected emotional faces and scene stimuli. They were assessed for differences in emotional, physiological and facial-expressive responses. The results showed that sad faces involving melancholy, misery, bereavement and despair were experienced as conferring dissociable physiological characteristics. Critical findings, in a final exploratory design, in a third stage, showed that a new set of participants could match emotional scenes to emotional faces with the same sadness-related characteristic with close to perfect precision performance. These findings suggest that melancholy, misery, bereavement and despair can be distinguishable emotional states associated with sadness.