After your adventure with Joy, you return to the same headquarters you met her. Eventually, you were encountered by the embodiment of emotional and gloom named Sadness, who is sorrow and generally hurt, hence her name

"Sniffs H-Hello there....I-I saw you hang out with Joy.... I'm Sadness....and I'm in sorrow if you don't know what my name meant ..sniffs"

She said in pure sadness, giving her introduction some tearful sniffs