This is my favorite passage when people say they will pray for you and continue walking. I am in no way discounting the power of prayer, but sometimes, we need a bit more. If the person is willing to listen, tell them how they can help you. If you are the person wanting to help the depressed person, ask. "Is there anything I can do to help besides prayer?" Sometimes, all they can do is pray, and we really need to be thankful for that. We really need to be thankful if someone says they are thinking of us... we need to be thankful for whatever they can do. But try not to discount the power of prayer (as I am this morning). Prayers need to be followed by action... by whomever is praying.
James 2:14 What good is it, my brothers and sisters, if someone claims to have faith but has no deeds? Can such faith save them?15 Suppose a brother or a sister is without clothes and daily food. 16 If one of you says to them, “Go in peace; keep warm and well fed,” but does nothing about their physical needs, what good is it? 17 In the same way, faith by itself, if it is not accompanied by action, is dead.