The Democrats issued their own state of the union message last night, and a gloomy one it was, stressing unemployment and social welfare cuts and attacking Reagan administration policies for favoring the rich over the poor and middle class.

Their message, in a 28-minute television documentary sponsored by Democratic congressional campaign committees and the Democratic National Committee, was the beleaguered Democrats' first effort to use a documentary to attempt to rebut the president's claims rather than filming party leaders responding to questions or making rebuttal statements.

The show, which was produced by Robert Squier, a veteran Democratic media consultant, cost $65,000 to produce, and was carried without charge on all three networks, public television and Cable News Network.

It cited a new poll, commissioned by the Democratic Party, which found that 57 percent of Americans say they believe that "things have gotten pretty seriously off on the wrong track," and that 48 percent say they believe that "Ronald Reagan does not really care about people like me."

This message of national malaise was driven home by man-on-the-street interviews in Washington, Memphis, Detroit, Dearborn, Mich., and Sacramento.

"The oil companies and the big corporations get all the tax breaks," complained an elderly woman on Social Security, interviewed at Montgomery Mall. A man looking for a job in Detroit said, "I've seen people go into garbage cans and pick out food. This is getting worse than the Depression."

The Democrats' documentary was more than a long wail of complaint. It was also a campaign vehicle for many of the Senate and House candidates who will be running this year.

California Gov. Edmund G. (Jerry) Brown Jr., who is running for the Senate, was featured prominently, noting that he was taught in school to "pray for the most forgotten souls in purgatory. Their number has grown. We should put a safety net under those people so they get some piece of the American dream."

Sen. Jim Sasser (D-Tenn.) and Rep. Albert Gore Jr. (D-Tenn.) were pictured standing in an empty field with a group of realtors, bemoaning high interest rates and the inability of average people to buy a home.

While the film offered no specific alternatives, the Senate Democratic minority, in a kickoff caucus for the session, explored some "new" ideas with a familiar ring, some straight out of the New Deal.

They included government help for homeowners, farmers and small businessmen to stave off mortgage foreclosures, a revival of the Reconstruction Finance Corp. to help ailing industries, extended unemployment benefits, an incomes policy involving wage and price restraints and credit allocations.

While ruling out what he called the big spending programs of the Democratic past, Senate Minority Whip Alan Cranston (D-Calif.) said, "Some of the cures of the New Deal worked when there was a depression, and this looks more and more like a depression."

"Things are tough out there, and there has to be some strong action," said Sen. J. Bennett Johnston (D-La.), one of several moderate-to-conservative Democrats to join liberals in endorsing a new look at the old Democratic approaches. "Most Democrats felt he was entitled to his chance to see how his program would work out. It hasn't worked out."

Rep. Tony Coelho (D-Calif.), chairman of the Democratic Congressional Campaign Committee, agreed.

"Last year we had an alternative to everything the president offered," he said at a news conference. "We did not have the votes to carry those alternatives. This year we intend to offer alternatives every time the president offers a specific."

Sen. Wendell H. Ford (D-Ky.), chairman of the Democratic Senate Campaign Committee, also was skeptical about the president's plan to send several welfare programs back to the states: "If you're going to pass that responsibility on without helping the states absorb it, it creates additional hardships. It will not and cannot work."

At a news conference, House Speaker Thomas P. (Tip) O'Neill Jr. (D-Mass.) joined in: "I just don't believe, as I understand this federalization program, that we can make such a transfer."

In other reaction, Sen. Russell B. Long (D-La.), restrained in his criticism of President Reagan last year, said it was time for the president to "take the blame" for the economy's performance instead of blaming it on his prececessors.