If you feel blue, you are feeling sad or unwell, mainly associated with depression or unhappiness.
The use of blue to mean “sad” dates from the late 1300s. There are many references as to where this expression came from some being:

This is because blue was related to rain, or storms, and in Greek mythology, the god Zeus would make rain when he was sad (crying), and a storm when he was angry. Kyanos was a name used in Ancient Greek to refer to dark blue tile (in English it means blue-green or cyan)

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