Here's the thing about being depressed:
It's hard to talk. It's REALLY hard to talk. It's almost impossible to talk about what is wrong.
It's much easier to answer. We can't start a conversation about it, but we usually can answer questions about it. But the thing is, the right questions need to be asked in order, or else we won't answer helpfully.
It's not that we don't want to. It's that we can't. We feel like we physically can not talk.
I think that must be how people get depressed. They are overwhelmed by things that they feel like they can't share with people (for various reasons), so they turn it all inward and don't say a thing. And it messes them up. It screws with their mind. They can't tell anyone. They can't tell anyone. And unless you ask the right questions, they can't tell you.
You can't ask "What's wrong?" Because that's the wrong question.
You have to start with small questions. Be a detective. Ask questions, hear the answer, draw conclusions from the answer, and ask more questions. Try to discern yourself what is the problem. Ask very direct and specific questions: "Did *someone* doing *something* at that *someplace* make you *something*?" Keep asking until you get confirmation, or some sign that you are getting close.
This is all a lot of work, yes. You actually have to care to do this. If you don't care enough about the person, please: don't bother. Nothing - nothing nothing nothing - is worse than finally being able to tell someone what is wrong, and getting silence in return. Please, just don't go searching at all if you really don't care. Just leave it. Eventually someone who does care will come along. Shut up your curiousity and leave it for them.
But if you do all this, you are the most important person in the world. You, at the very least, are saving a depressed person from overwhelming and terrifying feelings that they struggle with - loneliness. At the most, you could be saving someone's life. You are being someone they can talk to, someone they can hold onto when they feel they are drowning. I can't even explain how much it means to have someone to hold on to. Even if you can't change anything, you are trying to help, and that means the world and more.
The first step, though, is noticing something is wrong. Because we won't say anything. Because we can't. It's too hard to talk.