1) Seeing a therapist they know they can trust, because some people are really discouraged from going to therapy for many reasons, one of which, is that they cannot find the needed connection with a therapist.
2) Give them the support they need in the form of a loved one, show them that they are not alone. Depressed people are sadly not always in control of their thoughts, and may feel so overwhelmed by them that knowing they have someone there who is willing to do whatever it takes to ensure that they are okay, is just wonderful. Ofcourse, this won't always be the case, because even though they may have a lot of support, it is highly possible that they may still feel alone, however, it does make a difference to have such a strong support system, since it won't hurt to try and it's better to have something or someone than nothing.
3) Let them know that, "You are not your thoughts", this may be helpful, since, as I said, they feel disconnected with the world around them and some thoughts can be quite scary in such a situation, that is why it is also necessary for them to know that , "You are in control of your thoughts, it's your choice whether you want them to control you or not." Gaining control of your thoughts isn't always easy, especially for a depressed person, but it also isn't impossible.
4) Meditate - an ancient method people use to connect with their deeper , inner selves. Make it a daily routine and you're bound to see results.
5) Keep the Faith - there must be at least one thing that is motivating you to pull yourself out of this state of depression, hold on to that one thing, try to find others along the way, and keep striving to be better :)