I feel the most important effort is to take the time to be around them and listen to them when they want to talk and not
push them when they don't want to.
Having seen a close friend go through depression, one of the biggest lessons I learnt was to when to keep shut and not push, but then sometimes - you have to take a call to push them to open up. When I say push - I mean asking them to "try out different things to get out of depression”. You have to tread those waters a bit carefully. Because if they start something and can't continue then it is another reason for them to feel depressed - and generalize that "I am not that good at all".
I did a lot of mistakes like pushing them to get into routines, exercise and other out of comfort zone things - at the wrong times. And the cardinal mistake of “oh-try-a-bit-harder” expression and body language. Those are things that you need to avoid.
It did take a couple of other friends also - to whom my friend opened up to.