Gehenna is the word used by Jesus in Matt 10:28. The Hebrew word Sheol is used in the Old Testament for the underworld abode of departed spirits. It is not a happy place but neither is it a place of eternal torment.
In the Septuagint ‘Sheol’ is translated by the Greek word Hades, the word that designates the underworld of the dead in Classical mythology. This word also appears in the New Testament, where it is used by Jesus Himself in Matt 16:18. In Classical mythology, ‘Hades’ was not a place of eternal torment (this function was reserved for Tartaros), but it was a pretty grim destination nonetheless, guarded by the hound Cerberus, who wagged his tail at new arrivals but devoured anyone who tried to leave.
The New Testament version of ‘Hades’ is probably the place of “the souls in prison” of 1 Pet 3:19, the ‘hell’ to which Christ descended after his crucifixion as recited in the (Apostles’) Creed. In Rev 1:18 Christ refers to Himself as holding “the keys of Hades”, a claim previously made for certain Classical and pagan deities.