You are not required to be anyone’s shrink. As if you could. You are most likely not trained or educated in how to handle folks complex mental issues.
Often people are depressed and need medication to cope with chemical imbalances in their brains. Antidepressants, anxiety medications etc are not within you ability to prescribe for them.
Be kind, empathetic and if it goes on for an extended period of time suggest that they speak to their GP about their depression. Counseling can help a lot for people who are conflicted about their life’s circumstances. I would ask them if they might consider either of those two options. If not you can honestly tell them you are at a loss on how to further help them. It’s not mean to refuse to be their enabler.
If they persist, tell them it’s all you can do to keep yourself straightened out!