愁 (worry) sits a 心 (heart) under 秋 (autumn) - autumn sadness. Add 闷 (stifling) and you get a heart that's both sad and suffocated. A perfect picture of 愁闷.
usage
Slightly literary; everyday speech prefers 郁闷 for 'depressed/frustrated'. 愁闷 leans more toward sustained low-grade sadness with no outlet.
