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Sadly/Unfortunately he wasn't willing to cooperate.

  1. Is it perfectly natural to use "sadly/unfortunately" at the start of the sentence like this?

  2. Are they interchangeable in this context?

  3. Which would be more natural in everyday speech?

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In the particular example you quote I would prefer unfortunately although both are fine and very often interchangeable. If you use sadly it could be interpreted as qualifying his state of mind whereas the intention is to describe the whole situation.

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  • Also, fine at the start of the sentence. Feb 26 at 17:10
  • I think it would be a perverse reading of Sadly he wasn't willing to cooperate as referring to his state of mind.
    – Colin Fine
    Feb 26 at 23:53
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Although both adverbs convey the same idea, they don't work equally well in all contexts:

For example:

Unfortunately, he wasn't willing to cooperate and, as a result, the whole deal collapsed.

Here, unfortunately is used in the sense of the misfortune that results from his failure to cooperate.

Sadly, he wasn't willing to cooperate with the doctors trying to save him and died within a few weeks of the accident.

Here sadly is used because of the sad result of his failure to cooperate - his death.

You can't say whether they work equally well in your example without knowing the context.

Similarly, it's the context that would guide the speaker's choice.

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