What's the best immediate way to respond to someone who suffers from depression and is locked into a moment of sadness?

Listen. Don't offer advice, don't sympathize - just be there.

I think just be yourself whatever that is.  We all have moments of sadness but if we choose to get stuck in them there must be something we imagine is good for us that we are getting from being that way.  Which as long as we see that as positive we will not want to entertain anything different.  Depression is the outcome of choosing to live our lives certain ways and if we don't want to make any changes there is nothing that can be done. 

Hello JA
There is a big difference between "suffering from depression" and simply being depressed about a situation.
Where a case of "clinical" depression is involved, nudging into treatment would be most helpful. If it is a case of being depressed over a loss of some kind, I think it would depend on the situation, whether the situation can be remedied, as an example, the loss of a job, or something that cannot be remedied, the loss of a loved one. In both cases, being present is the best help. Offering assistance can also help, things like offering to help clean, or run errands, maybe cooking. 
Some things only time will heal, but in that process just be aware of the stages. There will be anger and depression, a feeling of loneliness, a lack of motivation, helplessness etc...When they are lonely, provide company. If they get angry, provide calm. If they are depressed, offer perspective. Most importantly, listen.

A fast "Sorry to hear that" as I'm beating my feet.

I don't know if you're thinking about a particular person - if so - I don't have enough info for a proper answer.

You might just be putting out a hypothetical question.
~

Initially, I'd just listen until they've thoroughly talked through all their issues (hopefully without repetition.)
I would paraphrase their feelings so they knew that I was genuinely and accurately listening.
If they became repetitive, I would ask questions to get a more complete picture of the background and situation.
At certain points, I might ask for specific information about the circumstances, exactly the facts of what happened without interpretation.
Usually, just getting it off the chest is enough to feel better.
Or talking about it allows the person to discover their own solutions.
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Sometimes one can "reframe" a situation.
For instance, Adler once had a client who could not get over the grief of losing his wife. He wanted to die.
After gaining the whole history of the relationship, Adler asked,
"If you could escape this suffering by being the one who had died first,
would you rather that your wife lived out the remainder of her life with this same grief?"
Suddenly the client realized that he would never wish such suffering for his wife.
Now he had a reason for accepting that it was okay that she died first.
~

Hardships can, in some circumstances, be things that no one can do much about - like having a terminal illness - and all the palliative care has already been put in place. There's not much else one can do. Other than euthanasia, which for some is illegal and for others too late to be capable of, the only choice is to reframe the situation - to find the point of view that enables acceptance and being at peace with the reality. Maybe it means speaking the important things while one still has the chance.
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Challenges - well, they're just that - things that can be overcome if one goes about it in the right way, with persistence and sufficient effort. They can be some of the best things in life because of the feeling of accomplishment at the end.
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Victimization - that does need help - and so much depends on the situation.

If it's only the perception of victimization - not a reality - then it's possible to ask questions that can help the person to see the situation in a different way. This is not an easy thing to do. It has to be exactly the right questions, and that depends on that person's history and mental habits. 
Mental habits don't change easily - the person has to see that it's possible, necessary and will have a positive outcome - they need to be highly motivated. And they need more functional alternatives to develop as positive habits in place of the old ones. If Monty Python has a silly walk, he needs to know what a sensible walk looks like before he can begin to practice it.

For some people, seeing themselves as a victim has become an unconscious survival strategy - so they won't want to give it up. If that's the case, I leave it alone.
(But I also make sure that I don't let them try to manipulate me into rescuing behaviors.) 

If the person is being victimized, it might be a matter of poor perception and boundaries;
not knowing how to recognize and avoid bullies, manipulators, con artists and/or predators,
not knowing how to recognize their own inner feelings of "no",
or not knowing how to say no and assert it appropriately to the situation.
This usually goes back to a dysfunctional childhood. It tends to be fairly ingrained, and it doesn't have any, easy, temporary or quick fixes.
The most one could do is help them to recognize their boundaries in a particular situation and to develop strategies to deal with it now.
In the longer term, it needs a few years of specialist therapeutic counseling - which is beyond the wallet of most.

If someone really is being victimized and is unable to defend themselves, see if you can talk them into leaving that situation.
And if you can't, call for help.
I'm sure you would anyway.




This post was edited by inky at December 12, 2018 3:37 PM MST

you could try talking about sonnething positive