They are all different. I can speak for depression and ocd. Depression is almost like a constant reminder that you have no energy or will to do anything including living sometimes. You cry alot for no reason, it's like holding on to that feeling you get when you hear something terrible has happened to a loved one. But it lasts all day. Everyday, you even get to a point where you don't want to feel good because you know it's going to go away.
Having ocd, well I have harm ocd mostly. Not everyone that has it experiences the exact same thing. Harm ocd is basically where you cannot stop thinking about hurting someone or yourself in some way. The thoughts are constant. You go to hug your mom goodnight and bam all you see in your head is the image of you stabbing her to death. It's terrifying and eventually you will stop going around people all together. You constantly feel guilty and horribly worried that you are going to do it. Imagine this, you have a computer screen inside your head that is your thoughts. ( many people with ocd are very bring and have very powerful imaginations). You are forced to watch this screen all day long, sometimes you don't even see with your eyes. You are lost in thought. The computer screen rapidly switches between windows and on every window is something horribly gruesome, You doing it usually. You aren't in control of what's on the screen but you try as hard as you can to shut it off. It never shuts off. It just gains speed. Basically to shorten this up. Ocd Takes everything you love and care about and completely fucking destroys it in the scariest worst way possible. And you can't tell anyone because you are terrified you are actually insane. You aren't.