Most people simply want to be heard, and advice is most often not particularly desired with things like that (they’ve already heard it before, and if you have to struggle to think of advice, you’re likely not adding anything impactful or novel or unique). Someone who’s depressed, or feels they’re not living with the right body, or something like that, is someone you should listen to patiently & without interruption if they’re offering complaints or getting things off their best. Save active/interjecting advice for someone who’s complaining about their shower being clogged, or not knowing how to do their taxes.

Sit with them, listen for as long as they talk, and reply with something to the effect of, “Well goddamn that really just sucks. I’m sorry you’ve been going through it.” - proceeded by, when possible, anything you can also share that may be within that general realm of experience. Don’t be afraid of feeling like you’re “making it about yourself”. If you’re approaching it with care, sincerity, and empathy, it isn’t going to come across that way. And someone with some particular mental ailment like depression is going to appreciate the continuation on your part anyways. Something like depression can also manifest feelings of guilt or shame for having even expressed the trouble to someone else. Hearing the listener talk in return for a bit helps alleviate that, allowing them to know that you aren’t annoyed (or whatever) that they confided in you.