I don't know the full story, but don't let him/her use their depression as a way to use you.
What ever this person does, (if they do something destructive), ISN'T your fault.
It's something in 'them'.
You can only do so much.
Your friend is lucky to have someone that cares.
Be supportive of him, and approach a reasonable adult who you can trust to discuss this. His depression can lead to many negative things, thankfully we have therapies and medication to help people with depression.
I've had depression. It doesn't mean he did something to himself, I think it's rather unlikely actually, but I don't know about the severity of his depression. Maybe he just didn't wanna bother you. And yes acknowledging the problem already helps. Try calling him if you haven't heard from him. It might be that he doesn't feel like talking though. So you can also send a text...
What you can do is that you check that he is going to counseling and if the counselor is not a good fit, that he doesn't give up but finds a new one.
What also helps a lot is exercise. It sounds stupid but it really does and is scientifically proven to release serotonin a chemical in the brain that helps lift spirits. So what you can do is taking him for exercising. Or making him join a sports team or something...
Ah yeah and I agree don't let him use depression as an excuse for everything. Hold him accountable... but don't judge.
sometimes the easiest tasks can be really difficult for someone with depression. I had days I had a really tough time even getting up, and just doing laundry or shopping for groceries was too much for me. It sounds idiotic and someone who hasnt had depression can't really understand why someone can't do this stuff.
And don't let him create drama by using depression as an excuse for everything. And tell him that he should have called you back since after the talk you were worried about him, make him think about what his actions do other people and not just about himself. But say you are there for him to talk anytime, but that he shouldn't leave you in a limbo worrying about him.
You need to get in touch with his friends. Many people are happy right before they harm themselves. They have made a decision and are at peace with themselves.