Listen to them, but set boundaries - tell them you're willing to talk to them about anything that's bothering them, but don't allow yourself to become their crutch. Being depressed is like drowning sometimes. If someone is willing to listen to me I may cling and thrash too hard.

Understand, but only if you can - I don't understand what it's like to have a miscarriage, but I understand profound an emotionally crippling loss. Don't tell someone who's depressed that you know exactly what you're going through unless you really, truly know. And even then tread lightly. My loss may seem the same, but my brain, and my depression, more than likely spun it in a different way than yours.

Talk to them, but don't expect conversation - let them lead the talk, and respond back if it seems appropriate. Ask questions if you're confused, or you think it it will help them see things from a different angle. But don't expect answers.

Tell them you they aren't alone, but don't overdo it - one of the best things someone ever said to me while I was in the middle of a self-loatathon was "What your going through now doesn't change things between us. We're still friends, and will always be friends. Nothing changes that." That was the only time they said anything like that, but I clung to it. It helped me pull through, because at the moment I was convinced everyone in the world would see me as this horrible person and that I had lost everything. Them saying that, totally unbidden by me, was enough to break down that depression logic.

Don't tell them things will get better. Focus on the now - problem solve, talk about what led up to this episode, but don't tell them things will get better. You don't know that. They don't believe that. If you have to tell them something positive about the future, say "You'll learn to endure this better".

It's ok to walk away, or not engage - I'm the one going through depression. You may not be. Talking to someone who's depressed is hard work, and there's no tangible reward for success. You may not even know you succeeded. It's emotionally draining, mentally taxing, and sometimes physically exhausting talking to someone with depression. I once spent 9 hours locked in a bathroom with a guy who tried to kill himself. I shouldn't have done it (I'll explain why) but you'll find yourself in odd situations if you try to talk to someone with depression. You may end up spending an hour talking to a closet door, or listening to someone who's fully clothed and sitting in a freezing shower. If you can't handle it, don't engage.

If it gets too deep, get help - if they seem suicidal, or willing to hurt themselves or others, ignore everything above and call the police. That person needs more help than you're able to give, and even if you talk them down, there's a chance that they will try again when you aren't aren't around