Depressed people can be acutely hopeless and hard to console, making friendships difficult. Below are some of my thoughts about what friends can do for a depressed person and how friends can maintain appropriate friendship boundaries with the depressed person in their lives.
Validate the pain and move on. We know that distraction is actually good for depressed people, and rumination - going over the same negative feelings over and over - only encourages further depression. This is not to say that you should ignore your depressed friend's proclamations of sadness and misery. On the contrary: validation, listening, and acceptance are helpful, as is encouraging them to also do something other than wallow in their own misery.
Set boundaries. Depressed people may be acutely sensitive to rejection, and you may feel guilty if you try to set boundaries. Don't feel guilty. Think about what your boundaries are, and respect them. For example, are you o.k. with listening to the depressed person talk about their miserable life for 10 minutes, but not 1 hour? That's totally reasonable. Telling the person that you can only talk about their misery for a certain amount of time (10 minutes, 30 minutes, an hour, whatever you feel is reasonable), and that you will then need to change the subject, is appropriate. This should be something that they respect.
Expect reciprocity. Does the person reciprocate your help and care? Note that this may be difficult when the person is in an acute depression. People in the thick of a depression can be a bit self-centered, preoccupied with their own suffering. However, this is not an excuse for not honoring the friendship by at least trying to come through for another person. Even if the friend is too depressed to reciprocate now, a history of reciprocity and the expectation of future reciprocity is important. It is important to hold friends to the standard of reciprocity, or the relationship is no longer a friendship between peers, but something more like a therapeutic relationship or a caregiving relationship.
Ask them what they need, and tell them how you are willing to help. What does the person want? What does he or she want from you? How has the person responded to your previous attempts to help? Has the person responded graciously? Do not do more than you are willing to do. It won't do you any good to end up resenting the person and it won't do them any good to feel like you are only being their friend because you feel sorry for them.
Don't try to be the person's therapist. If the depressed person needs someone to call in distress in the wee hours of the morning during the time when you need to get your sleep, talks about committing suicide, or has been stuck in the same bad place for months or years on end, they should consult a therapist for professional help.
Concluding thoughts. Depression is among the hardest of hard times, and friends provide an invaluable source of social support and distraction for a depressed person. However, if your depressed friend consistently violates your boundaries or makes you feel guilty about them, and consistently fails to reciprocate or at least appreciate your care and support, then it may not be a healthy friendship for either party.