These are basically two sides of the same coin. When you're depressed, the experience is the opposite of seeing through the proverbial rose-colored glasses. You're seeing through smog-colored glasses. You feel bad about yourself, your life, your choices, your future...everything you see do and feel is colored by this aspect of depression. Your outlook is completely negative, and this is why the depressed person is negative about everything. Before I was diagnosed with depression, I was told fairly often that I was being negative. I think I usually stared at the person blankly. To be honest, I didn't think I was being negative.

When they focus on you, a lot of their feedback may be criticism. That makes sense, doesn't it? They feel negative about everything, and yes, that could include you and everything you do. Don't take it personally. The depression is turning them into Don Rickles.
Don't bother to try to talk the person out of this attitude. I know that may sound defeatist, but the only thing that can change this outlook is treatment of the depression. Save your breath. If you stay positive, your example will do more to help the depressed individual than anything.

So, I know that I haven't solved your problem of what to do with someone who's depressed, but maybe it helps that you understand them a little better.

Links
The Purple Elephant in the Room: Talking to Someone with Depression
What Not to Say to Someone who is Depressed
Talking to Someone with Depression - What to Say and What to Offer