More like a quiet, self-contained type of upset. A melancholy is a poetic sadness that colors one's view of the world. It has connotations of being pretty, and even profound at times.

Many times melancholy is brought on by remembering things of the past that you miss or feel have changed in a way that you don’t understand and thus it brings on a state of sadness.

It's actually more than that, it is a state of extreme sadness or depression, usually lasting long. It can also be when someone keeps to himself, usually thinking about deep subjects.