it depends on the perspective of the sentence. 1st Sentence (future continuous tense) 2nd Sentence (past continuous) The first Sentence talks about him being sad for the fear of making a mistake which has not happened yet. The second Sentence is in reference to the sadness that comes from a mistake he has already made.

The second one is probably more correct, but people say the first one all the time.

On your first sentence, people aren’t usually sad about mistakes that haven’t happened yet. They might fear making a mistake in the future, but fear and sadness are very different emotions.

He is sad about making a mistake

Both are fine. I have to disagree with the other poster - - neither of these apply to the future.