The problem with trying to help anyone with depression is that you never know what's the right or wrong thing to say or do.
You sit there and you try not to draw attention to it. You try to suggest spirit-raising things to do and you avoid mentioning the D word because, well what if you're wrong? There's a big difference between being clinically depressed and just being a bit down. If you live with somebody you absolutely know suffers from clinical depression, it's even worse because depression is not constant, it's sporadic. A bad week might be all that's going on.
The simple question "Babe, are you getting depressed?" could be really dangerous. It might well be exactly that kind of slap to the self-esteem to somebody who thought they were either fine or coping that precipitates the full-blown downward spiral. And you don't want to see that happen, not because depressed people are annoying but because you love that person and you don't want them to suffer through all that misery yet again.
The safe course is to simply watch and listen, always listen but never ask. And rest assured, your loved one will bear you a grudge for not helping. Even though you wanted to. Really, you have the choice between being an insensitive jerk for asking to help or being an insensitive jerk for not asking to help. All you can really do is love that person as much as you can.