How do I say 'I'm sad'?

Chinese sadness vocabulary tracks intensity and cause with more precision than English “sad”:

• 心情不好 — the broadest, safest admission. “My mood is not good.” Covers sadness, irritation, and general emotional off-ness. This is the phrase people use when they don’t want to specify.
• 有点难过 — specific sadness, usually with a cause. 有点 keeps it measured. Dropping the 有点 and saying 我很难过 is significantly heavier — this is for genuine grief or deep disappointment.
• 不开心 — “not happy.” The lightest option, closer to “I’m not in a great mood” than “I’m sad.” Safe for casual conversation.
• 伤心 — heartbroken, deeply hurt. Not for everyday sadness. Using this for a minor disappointment over-dramatizes it.

The Chinese tendency is to understate negative emotions in direct statements — hence the frequency of 有点 before 难过, 失望, 紧张, etc. Removing the softener makes the emotion much rawer.