Yes, there is a clear difference between being sad and being depressed, and it's unfortunate that most people will never be able to understand it. You're right; it's not a feeling, it's just this constant thing. Feelings change, but depression is always there, but you can get over it. I've had a couple of bouts with it, but haven't had it in a long time. I don't even know if it's controllable; it just comes and goes.
You named exercise and music (which is amazing and important), but another key thing you can actually do to combat it I think would be to get ample sleep each and every night. I honestly think sleep is the most important thing in our lives that so many people take for granted. It is good to vent, but the thing I'm most concerned with is what we can actually do to combat these issues, which is good that you named some things.
I don't have anxiety, but I have OCD, and there are probably some overlapping things there, but it is a b****. It gets better, and it's honestly changed my life in a lot of ways for the better, but there is obviously some bad s*** that comes along with it.
You're not being egotistical because I don't know about people being out there that have it worse than this; sorry to be so bleak, but I'm not sure how it could get worse than having these diseases.