If you're ejected from an important game, you're going to feel dejected. If you're rejected by the love of your life, you'll feel dejected again.
Dejected goes beyond down––it's having given up hope. "After the theater was burned down by Mrs. Jud, the deranged school secretary, the drama students were too dejected even to sing "Pore Jud is Daid" from Oklahoma, the only song that might have made them feel better."