A few additional thoughts from my experiences as a pastor...
1. Spending time as an active listener, if the depressed loved one wants to talk, is good and can be healing. Just being heard without judgment is helpful. An active listener is an engaged listener who doesn't give advice or make directive comments unless asked for them.
2. If the depressed loved one is willing to pray with you, it can be a very good thing. Don't use your prayer petitions as a means of convincing the loved one of your preferred course for them, but simply reflect what they have shared with you, asking God for help, comfort, and guidance.
Of course, if the loved one doesn't wish to pray with you, you need to respect that desire. But you can pray for them in private and I think that there's probably nothing more important that you can do for them.
Related: How to Help a Grieving Friend