The Black Goddess

The Goddess Melancholia. An illustration by William Blake to a poem by Milton.
The word melancholia derives from the Greek melas, meaning 'dark' or 'black'. Here, perhaps, Blake is recalling the Goddess who, in India, is known as Shri Mahakali, the dark-bodied destroyer of evil.
Milton uses the word melancholy to signify a mood of poetic introspection, not a depressive state. Melancholia was one of the four "humours", or temperaments, of ancient Graeco-Roman medicine (the other three being: choleric, sanguin and phlegmatic).
According to Humourism, the well-being of the body and psyche depends on these four qualities being in balance.
The humours are akin to the concept of the gunas (energy channels) of yoga philosophy, and doshas of Ayurveda (traditional Indian medicine).

But hail thou Goddess, sage and holy,
Hail divinest Melancholy
Whose Saintly visage is too bright
To hit the Sense of human sight;
And therefore to our weaker view,
O'er laid with black, staid Wisdom's hue.
-Milton, Il Penseroso