We use the word depression to refer to a wide range of states of mind, from severe "clinical depression" to just feeling a bit miserable. A "depressing movie" is not one which is going to make you clinically depressed if you watch it.
But the words "mania" and "psychosis" are not like this. People don't often talk about being manic when they're happy - I've heard people describe themselves as "a bit manic", but the bit makes all of the difference. People do use these words wrongly, e.g. some people seem to use "psychotic" when they mean "psychopathic". But even so, these words are always associated with abnormality and pathology. Depression is talked about as "normal" in a way in which mania and psychosis aren't.
This is misleading. True, depression can be hard to distinguish from sadness, stress, ennui, angst and other emotions. But it is a mistake to think that clinical depression is nothing more than a kind of inappropriate or excessive sadness. Being manic is not just being very happy, even if feeling very happy is one of the aspects of mania in some people (but not in all). Depression is not just feeling very sad. In fact, depression can be much more like mania and psychosis than most people tend to think.
In my experience of depression, it's little like sadness. Most people that I've spoken to who have suffered from depression agree; the distinctive thing about depression in most cases seems to be a feeling of lack, or a lack of feeling, in which things lose their value and worth. Textbooks call this anhedonia, a lack of pleasure, which is as good a description as any. Whereas, if you're sad about something, at least you value it.
It's interesting to imagine what things would be like if depression were today a word like mania, as it was 50 years ago.