I recognize your inability to necessarily empathize in a meaningful way, or to confidently know what exactly it is they are feeling to be able to respond appropriately. From personal experience, I have found that the best thing to do in such a situation is endorse distraction and preoccupation.

This means, spending a lot of time together, preferably in person. A common interest in some sort of entertainment is helpful, e.g. music or TV. Offer to pick them up (if you have a car), and spontaneously drop by; dig them out of their situation. Play good music in the car so silence isn't awkward but is rather a companionable experience. Hang out, get food, work out together, do not say anything that is harsh or judgmental or critical to your friend, discuss the trivialities of your day-to-day life, find common ground in world-views and joke about how funny and ridiculous and stupid the rest of the world is in relation to the two of you, gossip, etc.

I think that if you do this consistently, it is a rather effective way of being there for your friends, and it is easy in the sense that you do not have to force yourself to come up with profound things to say in direct relation to their depression. You don't have to enforce strict intellectual standards when hanging out-- moderately indulge in the trivialities and gossip-- perhaps alleviating some of their self-imposed pressure to be perfect and right all the time. What you are doing is forcing them to otherwise occupy their time and thus not allowing them to wallow in self pity and feelings of loneliness. You are creating a memorial foundation in their life, restoring their faith in humanity, etc, by proving that naturalistic friendships exist.