This poem is fascinating in its development. The first stanza is a warning: When you fall into “melancholy”, do not seek to end the pain by forgetfulness (Lethe, the river of forgetting). Do not seek to end the pain by poison, suicide (nightshade). The solution here is not trying to drown and stop the painful emotion.
In fact he sees something here to not lose, For shade to shade will come too drowsily/And drown the wakeful anguish of the soul. That wakeful anguish is something keep. But why?
1.
No, no, go not to Lethe, neither twist
Wolf’s-bane, tight-rooted, for its poisonous wine;
Nor suffer thy pale forehead to be kiss’d
By nightshade, ruby grape of Proserpine;
Make not your rosary of yew-berries,
Nor let the beetle, nor the death-moth be
Your mournful Psyche, nor the downy owl
A partner in your sorrow’s mysteries;
For shade to shade will come too drowsily,
And drown the wakeful anguish of the soul. 10

Instead of running from the pain (which falls suddenly, like a storm), find something beautiful. The pain at first hides beauty (“hides the green in an April shower”), but do not let that dissuade you. “Glut thy sorrow on a morning rose.” And if your love is angry with you, even in that see her beauty.
This seems strange: We have not answered the question, “Why?”
2.
But when the melancholy fit shall fall
Sudden from heaven like a weeping cloud,
That fosters the droop-headed flowers all,
And hides the green hill in an April shroud;
Then glut thy sorrow on a morning rose,
Or on the rainbow of the salt sand-wave,
Or on the wealth of globed peonies;
Or if thy mistress some rich anger shows,
Emprison her soft hand, and let her rave,
And feed deep, deep upon her peerless eyes. 20
Why should you not not run from sorrow, or look away from beauty? Because “Beauty … must die.” Sorrow dwells with Beauty. But not merely Beauty will die, Joy, and Pleasure. Pleasure will turn to poison in the time it takes for a bee to sip at a flower.
And even in the Temple of Delight, Melancholy has a powerful presence, a “sovran shrine.” But this knowledge of the deep sorrow which lurks in the Temple of Delight and dwells with Beauty is only known by someone who is willing to accept Joy. The one who can truly taste Joy and see Beauty, will also be the one who can know the true nature of melancholy.
Keats is pointing to a manner of life, which goes beyond mere breathing and existence. Rather, he is seeking to know what is actually taking place in this world: A world of unimaginable Beauty, a world under a curse. In this we can see the turn of Romanticism, which sought to restore human feeling (not just emotion) to a culture which was praising a rather mechanical reason.
It is also interesting in comparison to our culture which treats sorrow or melancholy as a disease (and certainly there are people who suffer brutally with extreme bouts of depression. But we treat even the normal sadness which is part of life as something which must be avoided at all costs. And so, Keats’ poem is inexplicable in our culture.
3.
She dwells with Beauty—Beauty that must die;
And Joy, whose hand is ever at his lips
Bidding adieu; and aching Pleasure nigh,
Turning to poison while the bee-mouth sips:
Ay, in the very temple of Delight
Veil’d Melancholy has her sovran shrine,
Though seen of none save him whose strenuous tongue
Can burst Joy’s grape against his palate fine;
His soul shall taste the sadness of her might,
And be among her cloudy trophies hung.
John Keats: Poems Published in 1820 .