Mourning is more like an act, a ceremony of showing sadness.
Saudade is the little pain that lingers on long after the mourning; the settlement of mourning that never heals. As brazilian singer Chico Buarque says "Saudade is like a sting on a limb I lost long ago" or "Saudade is the boat that makes an arc and can't reach the harbour". In saudade there's a constant questioning of "what could it have been only if..."