english

You have to put it this way:
"He is the one who makes me sad" is correct.
"He is the one that makes me sad" it has a problem that "that" is supposed to describe a matter or an action & not a person, unless you write like this:
He left without a word that makes me sad. Here, "that" described the action "he left".

(Thinks) that
(People) who
He is the one who makes me sad. is right
but He is the one that makes me sad.is OK

if you describe things...use that
if you describe people...use who