Well, you could email his therapist and tell him of the depression you see when he is at your house. You could also say, I can see that you are down and this is not the place for you to deal with that. Then suggest he call his therapist.
Those are just thoughts that popped into my head. My SAWH has severe depression issues and meds are a necessity for him. I have emailed his therapist when I felt he wasn't maintaining his health. Let the therapist parent him, so you don't have to but are still not ignoring the problem. Depression is a serious disease.