6. "What exactly is the matter?"
If people with depression knew exactly what the matter was, they probably wouldn't have depression anymore. If it were one single cause, then they could probably work through it in a matter of months. However, there is no simple way to pinpoint the exact reason that a chemical imbalance or persistent emotional trauma makes you depressed. There are a thousand reasons a day why people become depressed - if they knew the easy answer they might tell you, but they probably don't.
Alternative: "Talk to me about how you're feeling." To someone without depression, these two might seem the same. But to someone with it, they are extremely different. Being asked what the exact problem is feels like a test, and that the person only wants the reason itself - not a conversation or background about the problem. However, an invitation to talk about how someone is feeling is being let into a safe space, and implies that they are someone who cares and would like to listen.