Instead, it’s enough to just let someone know that you are there for them. Not having to go through depression alone can really help to lessen the pressure a depressed person feels. Things you might say to a depressed person:1  I can’t understand what you are going through, but I’m here for you.2  Please just know that when you need to talk I’m here. 3  If you need space I understand, but please know you can talk to me anytime, day or night.nstead, it’s enough to just let someone know that you are there for them. Not having to go through depression alone can really help to lessen the pressure a depressed person feels. Things you might say to a depressed person: