What's the main difference between "gloomy", "sad", "melancholy" and "blue"? Are they interchangeable?

Native speaker’s answer
Rebecca
"Gloomy" and "sad" are words that are used most commonly in real-life contexts. "Melancholy" is closer in meaning to "sorrow" or "sadness," and is used more often in writing. "Blue" also means to feel sad or depressed, but again, it's not used very often when speaking. Ex: I feel so gloomy today. Maybe it's because of the weather. Ex: The man carried an air of melancholy around him since his wife passed away.