as she has decided not to have children. He confesses that love has made him confused and fills him with many conflicted emotions.

Romeo is depressed at the beginning of the play because his love for Rosaline is not returned. Rosaline has sworn off all men. Of course, as you read, you realize that this is not real love because the moment he sees Juliet he forgets all about Rosaline. Romeo's fatal flaw of impulsiveness dictates his heart.

Benvolio's attitude towards Romeo is that of concern. Benvolio wants to help Romeo get over Rosaline and explains to him that when he saw Rosaline she was alone, so there was no one to compare her beauty with. He encourages Romeo to go to the Capulet ball where he will see Rosaline compared to other girls and will then realize she really isn't that great! Benvolio wants to help Romeo get back to normal. He doesn't like seeing him depressed.

Romeo's emotions are a rollercoaster through the play: when we first hear of him in Act 1 scene 1 he is love-sick over Rosaline and "Many a morning hath he there been seen / With tears augmenting the fresh morning's dew" and is sick because he is "Out of her favour where I am in love". He speaks almost entirely in this scene in rhyming couplets which may be being used by Shakespeare to either ennoble his feelings or, in my opinion more likely, to alert the reader to their artificiality.

In contrast, when he first sees Juliet in Act 1 scene 5, he and Juliet share a sonnet which Shakespeare most certainly uses to indicate a genuine and true connection.

Thereafter, Romeo is emboldened by his love for Juliet, allowing him to enter the Capulet garden, to belittle the dangers there which Juliet is painfully aware of.

After Act 3 scene 1 where Romeo kills Tybalt, true all-consuming grief encompasses Romeo as it does with Juliet. Romeo now banished on pain of death, their marriage seems destined never to be consummated and they both contemplate suicide. I think Shakespeare intends us to assume that they are genuinely suicidal, as opposed to traditional courtly protestations.

Finally, after a litany of mistakes, Romeo is convinced that Juliet is dead and is heartbroken, taking poison so as to remain with her in death as he could not in life.

Romeo is frequently sad because he is a hopeless romantic. He is not hopeless in the sense that he is without hope, however, for he does, in fact, hope for the best in his tragic situation. Romeo is hopeless because involves himself in a hopeless situation. Since the Montagues and Capulets are families with a blood feud, his marriage to Juliet would likely never be accepted. Both Romeo and Juliet realize this unfortunate fact, and though they try, Shakespeare shows that they cannot escape fate. Perhaps Romeo is always sad because deep down, he realizes this fate, but chooses to pursue love instead of preserving his personal safety. With the knowledge that his marriage to Juliet would never be accepted, it makes sense Romeo would be sad since he reveals that his love for Juliet is more important to him than anything else.

Romeo is obviously sad at the beginning of the play. His sadness there is due to his infatuation with Rosalind. This infatuation has produced in him many of the classic signs of Renaissance love-sickness, including melancholy, alienation, disorderly appearance, and unpredictable behavior. Many people in the sixteenth and seventeenth centuries would have argued that Romeo’s sadness reflects the selfish nature of his love, which is not true love at all. Instead of being genuinely in love with Rosalind as a soul, a person, another creature of God, he mainly desires her body. His desire for Rosalind is rooted in selfishness and is therefore not true love. It is, indeed, infatuation – a kind of foolish fixation on an external object, but a fixation ultimately rooted in self-love. The shallow nature of his “love” for Rosalind helps explain not only his initial sadness but also the ease with which he can easily abandon his fixation on Rosalind for a new fixation, this time on Juliet.

You do not specify which part of the play you are talking about.

There are many places where Romeo is sad.  I'll talk about two of them.

Romeo is sad at the start of the play.  He is sad at this point because he is in "love" with Rosaline.  The problem is that she does not love him in return and so he is going around moping because of this.

Much later in the play, he is sad (beyond sad, really) because he believes that Juliet is dead.  He is so devastated by this that he kills himself.

So those are two places in the play where he is sad.