I wouldnt say its only about sad or happy.

Major keys have an open sound, while minors have a conclusive sound that sounds, for the lack of better words, like an ending. Minor sounds more final and hammered down as a “conclusion”.

When i hear a minor key, i hear “final judgement”, the end, finality.

With majors i hear opportunity, opening, beginning, they sound like a beginning of something because it gives you an urge to keep adding more tones and notes on top of a major key, to keep going.

And many times we associate finality and the end with sadness, and opportunity and beginnings with “new good things to come” so to speak.

Similar to lets say spring and autumn. Spring is the beginning, the bloom, life sprouting, which to me, fits with major chords. And autumn is death, the end, depression, conclusion, which fits with minors.