This is a very good question. There are so many that struggle with depression everyday. Knowing exactly what to say to them all depends on the person. Them knowing that we are there for them is a big help. I think I would ask them if we could pray together or if I could pray for them. They may not know their higher power yet and maybe lack the faith of better days. I would try and relate to them and let them know my story. If god can change me then he can change anyone. Let them know that they are loved and that they mean alot to many people. Try to help them work out the reason why they are depressed. I f you cant help them maybe you have resources or know someone that can point them in the right direction. They have to know that it wont be like this all the time. Everyone has good and bad days.
This is so true! Thanks for the excellent comment!