Encourage the person to have a good cry, nature's way of learning to accept the unacceptable parts of life. If you find out the insoluble problem that the person feels so obligated to solve, you can suggest getting help with it from someone who knows how to deal with those sorts of problem. To the depressed person, asking for help is extremely difficult, shameful and embarrassing. He would sooner die. Please just trust me on this, even if to you there is nothing whatsoever difficult, shameful or embarrassing, it is to the depressed person.
Depressed people isolate themselves.
They are starved for warmth. It may be available but they won't take it.