I agree. The best way to deal with true depressions (which is not caused by circumstance) is to simply do things.
Anything. (But not passive things like watch something, or read something.)
Make something, drive, hike, volunteer, clean, garden. Whatever.
You can help them by thinking of what activity they often do, and doing it with them. But remember to think of what they do, not what you do.
Instead of asking "why sad," try to simply do things with the person that will get their mind off their own negative feedback loop. This is easier said than done, and if the depression is lasting for weeks or months, I suggest seeing a mental care professional.