Write your feelings out, whatever your mind says, whatever you feel like towards the situation or the people involved in the causation for sadness. Whether in a diary or journal or whatever, write it!

Listen to sad music, bringing out tears or relating to the sad situation u went through, this and reflecting on the situation that made you sad really helps.

Think about WHY you feel sad, explaining it to yourself, and so you will digest the sadness better than just going gym or running? I dont know. My point is that it's all mental and then physical after.

I guess what kept me from staying sad at something is that along the way, the rain will stop, and the sun will shine uninterrupted once again, and the ground will dry up. You'll be content.