A dear friend has depression that he's been treated for, off and on, for a couple of years or so. He doesn't like the side effects of the medication he was prescribed, and getting him to talk to a therapist or other professional is, um, challenging. So he's not getting treatment at the moment.
Side effects are something he should be seeing somebody about. Depending on the exact problem there could be several options for medication, plus the option of manipulating the dosage level.
Getting him involved in some hobby or dragging him out to social events can work if his depresion is mild. But from the sounds of things it is a long term and fairly serious problem. In which case medication tends to be the only real solution.
It sounds like what he needs to do is find a therapist he likes.
Jay