I agree with XcaliburGirl. INTJ with depression must do something productive and the activity should contain at least some interaction with other people.

It might not be an INTJ thing, but I tend to bottle up emotions. Often I see no reason for reacting. When too many unpleasant things have happened, I just don't feel like doing anything. This might lead to depression. Sometimes it's just good to do something agressive or exhausting. Even better if it has an outcome. What to do exactly depends on the personality. I have cleaned the kitchen, swam 1 km, repaired household items that had been bothering me for ages...

You could invite your friend to go bowling/playing pool/etc. It could be any game where you compete against each other and where you are equally good. Might help.

Oh well... There are different phases in a depression. there is also one where almost nothing helps. I have no advice for that.