Honestly, besides recommending a good therapist, there isn't much to say. People who feel this way will rarely be comforted by words. It helps them to know that you support them, that you aren't blaming them for their own depression or expecting them to just change how they feel when it's obviously not that easy.

You don't need to say anything, just be there for him. Be there with him as he struggles through it. He doesn't need to be saved from what he's experienced, he just needs to not be alone through it.