One important thing to remember when being a listener: it's very easy to make the mistake that you're supposed to solve the other person's problems. It might be that the other person isn't actually looking for advice, but rather just sympathy and a reassurance that there's someone who will listen to them.

I would add that even if the other person is looking for advice, leading them to a place where they themselves come up with an idea about how to change can often be more effective than giving them a solution from the outside.

If you are talking to a depressed person who would probably benefit from going to the gym, telling him to the gym might not be effective because he can't see himself following through.

Asking him about his relationship to sport and to his own body might bring him further.