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According to Merriam-Webster, as transitive verbs, "lament" means:

1: to express sorrow, mourning, or regret for often demonstratively : MOURN
… must regret the imprudence, lament the result … — Jane Austen

2: to regret strongly
He lamented his decision not to go to college.

and "deplore" means:

1a: to feel or express grief for
deplore the death of a friend

b: to regret strongly
deplore my own actions

2: to consider unfortunate or deserving of deprecation
many critics deplore his methods

I was wondering what is a right verb to express one feels sad about some situations (inequality in society, spreading of wrong syntax, etc.).

According to the above, "deplore (2)" should be definitely usable. But I'm not sure about "lament (1)" as presented in the definition. Is it natural to say "he lamented the current war in Ukraine."? More generally, is there difference between these two words in terms of what can be the object?

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They are very similar, but perhaps one important difference is that "deplore" would more often suggest a negative moral judgement of, and a culpability for, an action. It often carries the implication that the thing should not have happened.

By contrast, "lament" usually lacks that aspect, and so has more of a helpless or resigned tone in the face of an outcome. It suggests that we wish it had not happened.

So we might deplore the killing of people by a random gunman, but lament the deaths of people who succumb to a pandemic.

With your example of societal inequality, it would depend on your point of view. If you feel that it is caused by people doing something you believe they shouldn't (or not doing something you believe they should) then "deplore" would fit best. Whereas if you feel that the inequality is an unfortunate but unavoidable state of the world, for which no one is responsible, then "lament" would be better.

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