This is what I can tell you.

In my freshman year of college, I helped my best friend get through depression at the moment when I thought he would take his life. We were like 300 miles away, and despite the distance, I was lucky enough to be able to make a difference.

My friend was going through what I think has been the hardest time of his life (although throughout his life, he has been through some really tough times). Also, my friend was a mere teenager in his middle teens and (in my opinion) lacked support from family; both psycologically and financially.

Tips:
A depressed person will say "you don't understand [how I feel]". Do NOT try to convince this person that you do, and while you might want them to feel like you agree with them and see where they are coming from, it is best not to seem like you can understand their immense unhappiness.

Another thing to avoid is using yourself as an example of how things will be OK. For example, don't say something like "yeah, my parents divorced when I was young too, but look, I'm ok and so will u".

I think a depressed person's least concern is how your life is going (unless it is your life that is depressing this person) so don't say things like "it makes me sad to see you like this", because it will just feed a vicious circle of sadness and nothing gets solved.

The final thing that I can tell you to avoid is saying something along the lines of "you should see a psychologist/psychiatrist". I know, its ironnic, but that will feel to the depressed like you want to send the burden of helping this person out to a doctor.

also, don't say things like "I don't want you to ...(be sad, die, ...etc)" because as I said before, its not about what you want, it is about how they are feeling.

To do's:

Ask this person why they feel this way.
Ask this person if they are considering suicide...and I know what you may be thinking: "won't that put ideas on their head or encourage them to do it?"

Sincerely, it is very unlikely that they are depressed and haven't though about it. it will be rather a better way for you to understand this person and take preven[tative?] measures if necessary.

Feel free to remind this person that you love him/her. (I'm hopping and assuming that you do)

There is also a suicide hotline that will advice you on how to help this person. On the other hand, i'd avoid calling 911 for help on this matter unless your loved one is about to end it all. This is because of all the terrible reprecussions that will arise out of that. Also, this is different than referring a psychologist, since it will not throw unintended hints of crazyness to your loved one.

Did you know that if a person makes a suicidal statement to "the authorities ( police, doctors, etc...)" they will get sent to a hospital for a long while to "recover"? The problem is that these places don't really help your loved one recover, they will just administer a lot of drugs and emprisson them for at least a week in a medical facility that I hear is quite a miserable place to be. (My friend went there and hated it).

Last but not least, here is a link on a PDF of QPR:

http://www.scshare.com/downloads/MHA_QPR.pdf
(like the official what to do(s) in these terrible times )

I wish you the best of luck and happiness to you and your fiance.

Last but not least, I want to recommend you the documentary called "Happy". I believe it can show you ways to improve not only your fiance's emotional situation, but also yours (whomever you are).

PS: I believe that while Hacker News is not the typical site to find advices of this kind, I am glad you asked because while I like technology and business, I know of other things, I like helping others and HN is pretty much the only page where I care to get involved. So, to the selfish person coughDigitalSea cough, healthy human happiness is totally worth looking for in any crevice one can look, even on the internet.