Blue is actually one of my favorite colors.  I am naturally drawn to the cool, calming tone, along with aqua and emerald green.  The hue has no association with sadness for me.  In fact, the color reveals feelings of just the opposite for me.  When I close my eyes and sense all the shades of blue, I think: blue skies and bliss, sweet blueberries divine, deep blue seas of possibility, tropical blue beaches of relaxation, and bright blue bundles of accessory and decor.  Brilliant blue tones lift my spirits and cheer my soul.  – Sapphires happen to be my favorite gem, next to diamonds, by the way – Cool blues relax my heart and comfort my disposition.

I like to paint my bedroom blue – slate blue.
I wear blue, in some fashion or another, just about every day.
Someone once told me that the color blue goes well with my blue eyes.  I listened.
My suitcase is blue.  My phone case is aqua blue.  My fingernails are painted iridescent baby blue.

Why the association with down-trodden grief and despair?  I do understand color-word-expression associations on some level.  “Tickled pink” makes sense to me.  A little physical tickle may result in a pink flush of the skin.  “Lucky green,” the color of lucky shamrocks and money.  But why sadness and blue?

The best explanation I could muster:

The blues were around long before African Americans put them to music.  The expression originates in the belief of early English settlers that “blue devils,” or mean spirits, had followed them to their new land.  These devils were thought to be the cause of sadness, and so a bout of depression was called “the blues.”  Because no one could have been sadder than the black slaves, their raw expression of the mood in a unique and brilliant musical form became known as “the blues.”