Me da pena cuando mi amiga está triste.

Not exactly. Me da pena is a very common Spanish expression that literally means something like it gives me sorrow/pity or it makes me feel sorry/sad.

In this sentence, it means that the speaker feels sadness or pity because of their friend’s situation.

So:

• Me da pena = It makes me feel sad / I feel sorry
• It is more idiomatic than a word-for-word match with English I am sad

Spanish often uses this dar + emotion pattern:

• Me da miedo = It scares me
• Me da rabia = It makes me angry
• Me da pena = It makes me feel sad / sorry

Me is an indirect object pronoun meaning to me.

So:

• me = to me
• te = to you
• le = to him/her/you (formal)
• nos = to us
• os = to you all
• les = to them/you all (formal)

In Me da pena, the idea is that something gives sadness to me.

You can swap the pronoun to change who feels the emotion:

• Te da pena = It makes you feel sad
• Le da pena = It makes him/her feel sad
• Nos da pena = It makes us feel sad

Because the verb is not being conjugated with I as the subject.

In Me da pena, the subject is an implied it/that/the situation. In other words, the fact that my friend is sad is what causes the feeling.

So:

• da = it gives
• not doy = I give

A helpful way to think of it is:

• Me da pena = It gives me sadness
• The hidden subject is something like eso or la situación

So even though the English translation may begin with I, Spanish is structuring it differently.

Pena can have several meanings in Spanish, depending on context. Here, it means something like:

• sadness
• sorrow
• pity
• feeling sorry

In Spain, pena is very common in expressions like:

• Qué pena = What a shame / How sad
• Me da pena = It makes me feel sad / sorry
• Me da pena ella = I feel sorry for her

Be careful, though: pena can also mean shame/embarrassment in some contexts:

• Me da pena hablar en público = I feel embarrassed / shy about speaking in public

So the exact meaning depends on context. In your sentence, it clearly refers to sadness or sympathy.

Because triste here is describing a temporary emotional state, not a permanent characteristic.

Spanish usually uses:

• estar for states, conditions, feelings
• ser for identity, essential qualities, general description

So:

• mi amiga está triste = my friend is sad at the moment / in this situation
• mi amiga es triste would sound more like my friend is a sad person, or it would sound unusual depending on context

Since sadness is normally treated as a current feeling or condition, estar triste is the natural choice.

Because this sentence is talking about a real or habitual situation: whenever my friend is sad, I feel sad too.

With cuando, Spanish uses:

• indicative for something real, habitual, or known
• subjunctive for future or not-yet-real situations

So here:

• cuando mi amiga está triste = when my friend is sad / whenever my friend is sad

But if you were talking about a future situation, you would normally use the subjunctive:

• Me dará pena cuando mi amiga esté triste = It will make me sad when my friend is sad

So the indicative here fits the idea of a repeated or existing situation.

Yes, absolutely. That is also very natural Spanish.

There is a small structural difference:

• Me da pena cuando mi amiga está triste = I feel sad when my friend is sad
• Me da pena que mi amiga esté triste = It makes me sad that my friend is sad

The second version uses que + subjunctive because Spanish often uses the subjunctive after expressions of emotion, like:

• me alegra que...
• me molesta que...
• me da pena que...

So both are correct, but the focus is slightly different:

• cuando emphasizes the time/circumstance
• que emphasizes the cause of the feeling

Yes. Spanish allows some flexibility in word order.

For example, these both work:

• Me da pena cuando mi amiga está triste.
• Cuando mi amiga está triste, me da pena.

They mean essentially the same thing. The second version puts more emphasis on the time clause.

You can also add emphasis with:

• A mí me da pena cuando mi amiga está triste.

That A mí is optional and adds contrast or emphasis, like:

• As for me, it makes me sad when my friend is sad.

Because standard modern Spanish normally uses the possessive directly before the noun:

• mi amiga = my friend
• tu casa = your house
• su hermano = his/her/their brother

Unlike some other Romance languages or older forms of Spanish, standard Spanish does not usually use an article before this kind of possessive adjective.

So:

• mi amiga = correct
• la mi amiga = not standard in normal modern Spanish

Yes, it sounds natural in Spain.

Me da pena is very common in European Spanish and can express:

• sadness
• sympathy
• pity
• what a shame type feelings

Other natural ways to express a similar idea are:

• Me entristece cuando mi amiga está triste. = It saddens me when my friend is sad.
• Me pone triste cuando mi amiga está triste. = It makes me sad when my friend is sad.
• Siento pena cuando mi amiga está triste. = I feel sadness when my friend is sad.

But Me da pena is very everyday and idiomatic.