Everyone of us has gone through or known someone that is going through depression, whether it be yourself, your parents, your friend, or your neighbor, there is someone going through depression and you do not know how to handle it.
The first thing to know is that they are not mad or upset with you in anyway; they are just going through some bad times and bad thoughts. They also may be dealing with fatigue, loss of interest, or just lack of concentration. No matter what you may think, it has nothing to do with anything that you did or said.
They may try to distance themselves from as many things as possible, maybe even quit a few things. Allow them their space but make sure that they do not become a safety hazard to themselves or anyone else. The allowance of space and how much space you are willing to give this person is completely your call depending on how bad off they seem.
The natural thing to do is worry and you have a right to be worried. You also reserve the right to voice your worries. Do not feel scared to do so, if you voice how you are feeling it will probably motivate that person to seek help. Even if you feel that it is not your place to feel worried, gather some information and other loved ones and stage an intervention. Because that person still may need help and someone to talk to. Feeling bad is not a good thing and feeling numb is not the same as feeling good. That person needs to feel happy and good again.
Again, their depressive state has nothing to do with you. And you have the right to make sure that that person is okay and happy.