Pensive can suggest a slight, not obvious, sadness or concern in someone's expression or mood. His pensive stare out the window revealed his internal struggle.
Pro Tip 2/3
Not Always Negative
'Pensive' isn't always negative; it can express thoughtful reflection, even with a positive aspect. After the news of her promotion, she was pensive, reflecting on her hard-earned success.
Pro Tip 3/3
Quiet Focus
Pensive implies a quiet and peaceful kind of focus, unlike worry which might appear more anxious. He was pensive, calmly considering the chessboard before making a move.