Formal:
* Il est triste. (This is the most common and straightforward translation.)
Informal:
* Il est malheureux. (This is a bit stronger than "triste" and implies a deeper sadness.)
* Il est déprimé. (This is the strongest translation and suggests a more serious state of sadness.)
Other options:
* Il a le cafard. (This is a very informal and idiomatic way to say "he's feeling blue.")
* Il est dans le blues. (Similar to "a le cafard," this is an informal expression for feeling sad.)
The best way to choose the right phrase is to consider the context and the level of formality you want to convey.