In "Romeo and Juliet," Romeo is initially sad because he is in love with a woman named Rosaline, who does not reciprocate his feelings. Romeo is so infatuated with Rosaline that he is unable to eat, sleep, or enjoy himself. He explains his feelings to his cousin Benvolio in Act I, Scene 1, saying, "Out of her favour where I am in love" (1.1.160).
However, Romeo's sadness deepens after he meets Juliet at the Capulet party. Despite their families' feud, Romeo and Juliet fall deeply in love and quickly become engaged. However, their relationship is complicated by the feud between their families, and Romeo becomes increasingly distressed as events spiral out of control. He is consumed with guilt after killing Tybalt, Juliet's cousin, and is devastated when he believes that Juliet has died.
Romeo's final speech before he dies is a poignant expression of his despair. He says, "O, here / Will I set up my everlasting rest, / And shake the yoke of inauspicious stars / From this world-wearied flesh" (5.3.110-113). Romeo is saying that he is tired of living in a world where he cannot be with Juliet and that death is the only escape from his pain.
Overall, Romeo's sadness in the play is due to his inability to be with the woman he loves, first Rosaline and then Juliet. The societal and familial obstacles between the two lovers lead to tragic consequences, and Romeo's despair is a central theme of the play.