It depends, on what type of depression they have, who they are, whether they trust you or not, and whether they want to listen to you or not. The first thing I'll mention is rather than say something, listen to them. Because many times when we see people who are experiencing some sort of depression, our immediate response is to push that away and not like to see that, and wish to somehow to give them something to get out of it real quick. But sometimes, some people who are depressed first of all just need someone to be able to have compassion for them, listen to them and actually see where they are coming from, where this depression is arising from. In order for them to open up to you they have to trust you first. So rather than saying something right away, it is actually reaching out to them in a human sort of way to learn how to listen first. So that this person gains trust in you, that you are not out to get them, or make them into something you would like, but instead are able to sympathize with them. Because what you say really depends on where they are coming from. So I can't give you a formal answer of what to say.
Human beings are very similar. So just by identifying with their human condition, trying to talk to them on a human level, and listening to them is helpful. Sometimes they may just need a friend to listen to them. Then when you know where they are coming from, try to be as non-threatening and non-personal as possible, because a lot of the time if we show we are having impatience with them or their suffering, or trying to change them in some way, they will close up again. So we have to know where they are coming from first and that means getting to know them a little to see actually where the Dukkha is coming from. Then you can ask yourself, "Ok, I think I understand the Dukkha, I think I know where it is coming from. What do I know about that and what do I know about getting out of that type of Dukkha?" Try not to be the person who is helping but just respond to Dukkha, respond to the suffering that you see and try to give some helpful comments about what you know about this type of suffering. So, it is very difficult to know what to say unless you know where the Dukkha is coming from, because all of us have different personalities and some of our Dukkha is coming from different causes, and depression is coming from different causes. Also, just as you know from being Dhamma practitioners, there are different types of techniques to solve that suffering.