As someone who is bipolar & suffers often from depression, this question is relevant to my interests. I have always thought of unhappiness as being a specific response to a specific situation, whereas depression I feel is more of a general mental attitude that influences responses to all situations. Your depression can cause you to feel unhappy because it influences your responses to circumstances, and an unhappy incident can trigger depression, but I do feel that the two are separate and distinct. For example, I am unhappy that my car has broken down, which leads me to a state of depression. When my car is fixed, I may no longer be unhappy, but there is not such a simple and quick fix to depression.