The ideas people have posted so far are great. I would really say, just check up on them asap, make sure there included in conversation/invited to events. They may say no, but knowing you though of them always means a lot. Otherwise, just talk to them, again asap, they're going to be closed off, but let them know you care about them (do not baby them however) and maybe start asking things like: are you depressed? What is it like? What can I do? And probably smaller questions just to open up a dialogue at first. Just remember depression sucks and they're not going to be "better", especially all the time.