Severely depressed people are different from most the rest of us in one important way: they fundamentally believe that they are worthless people and that their lives are hopeless.
Hopelessness poses a problem not just for the depressed person, but for his friends as well. For most of us, when we hear a friend telling us that his life is hopeless, our knee-jerk reaction is to disagree with him. It is perfectly apparent to us that there are things that he can look forward to. Perhaps if we point out these things to him, he would remember them and feel better.
But that is not what happens. Instead, he ignores what we have said or gets frustrated with us for failing to understanding what he has been trying to tell us: nothing good will ever happen for him. The more we argue and question, the more and more evidence he provides to support his case. The only thing that will make him feel heard is for us to acknowledge his incredible sadness and hopelessness, and if such acknowledgement is to be genuine, it requires us to empathize with his feelings - to actually inhabit them, for a little while, ourselves.