Nearly a third of people in England (28%) would feel uncomfortable asking someone close to them about a mental health problem, according to Time To Change, the anti-stigma programme run by the charities Mind and Rethink Mental Illness.
When asked why, 32% of people said they would avoid the topic because they "wouldn't know what to say".
"Despite recent progress in starting to break down stigma, our latest survey shows that some people still worry about saying or doing the wrong thing so end up not talking about mental health at all," says Sue Baker, director of Time To Change.
"Asking someone how they are, sending a text or arranging to meet up are some of the small but very meaningful gestures that can make the world of difference."
So how do you approach the subject of depression with a loved-one for the first time?
Dr Sheri Jacobson, a clinical director at Harley Therapy, says it can be useful to research the symptoms of depression before approaching a friend or family member you believe may be suffering, in order to separate the facts from your assumptions.
"Just because you are not getting along with someone or they aren't as happy as usual doesn't necessarily mean they are depressed. They could just be stressed or experiencing a life change," she tells HuffPost UK Lifestyle.
While depression has many symptoms and can exhibit differently from one person to the next, there are a few key things to look out for.
"Look for marked changes in their usual behaviours and moods that don't seem connected to circumstance and that don't ease after several weeks," Dr Jacobson says.
"Have they stopped going out on the weekend? Are they not taking their work seriously, or have they stopped talking about things they care about? Is their self-care regime dropping, are they no longer dressing smartly or watching their drinking? It's also common for sufferers to show no interest in hobbies and activities they usually love."
Depression may also make people appear to be more tired than usual and they may display a change in appetite, such as under-eating or overeating.
If you think that a loved-one needs help, Dr Jacobson says you should be wary of "telling" them about their behaviour and instead, focus on "asking".
"Instead of saying 'I think you are depressed' or 'you should go to therapy', ask them, 'how are you feeling lately?', 'what's going on for you?'.
"Make sure you approach the topic in privacy and at a good time for the other person and keep the conversation one-on-one. It's not helpful for someone feeling low to feel ganged up on, exposed, or cornered when they are unprepared," she says.
Throughout this initial talk and any following conversations you have with your loved-one about depression, Dr Jacobson believes focussing on empathy, as opposed to sympathy, can be helpful.
"Sympathy is pity, such as 'poor you', and leaves someone feeling ashamed. Empathy, 'I wish I could understand how that must feel', is more an attempt to see their viewpoint," she says.
"Take the conversation seriously, too. It's not something to casually drop in right before a film starts at the cinema, for example."
On a practical level, compiling a list of local support groups and low cost counsellors, or finding out what your friend's work insurance covers, can also be useful.
You may also want to discuss booking an appointment with their GP and offer to go with them, if that is what they'd like.
Approaching the topic of depression may not only help your friend, it can also lift a weight off your own shoulders.
Angelique Winston worked with Time To Change on their #SmallThings campaign, which aims to highlight the small things that can make a big difference when it comes to mental health.
"After my friend told me that she was struggling with her mental health I felt an immense sense of relief and also privileged that I was the person that she opened up to," she says.
"I was surprised because she was the strong one and she always was the one who could handle things. I just took her hand and said 'just keep on talking'. I think it was just the action of holding her hand and just saying 'keep talking, I’m listening'.
"There doesn’t have to be grand gestures in supporting a loved-one with a mental health problem. There are times when I haven’t heard from my friend for a few days. I’ll just send her a text to let her know that I’m thinking of her.
"Talking to someone about their mental health for the first time can be daunting but my biggest piece of advice would be to find someone you trust and then start the conversation, whatever way you feel comfortable and whatever the environment, just start that conversation."
For more advice on depression and other mental health issues, visit Mind.