When there's doubt, there's a simple 4 step process you can go through to help someone.
1) What is she thinking about? What's the first thing on her mind? Is it her parents, or her future, or her health? This can change in the course of conversation, so if you're talking with the intention of helping her, always try to be talking about what she's thinking about. When in doubt, ask.
2) How does she feel about it? If she's thinking about her family troubles, is she sad, or angry, or depressed, or frustrated, or scared? Try to be specific. Anger, fear, and sadness are the basics, but try to be as nuanced as possible. Frustrated, anxious, or miserable might fit better.
3) What does she need? All feelings are connected to a need. Positive feelings are connected to a need that is met or is being met. Negative feelings are connected to an unmet need. If your gf is sad, does she need a hug? If she's anxious, does she need clarity? Sometimes, all someone needs is to be listened to. Sometimes, they need more.
4) Have her make a request. If all she needs is to be listened to, then it ends at step 3, but sometimes it goes beyond that. In that case, she'll have something specific to ask of you, and if you want to help her, help her to figure out what this is.
Often, people don't even know what they are feeling or what they need, so these things take some time and effort to figure out. It takes practice. And remember, your own feelings and needs are also part of the conversation, even if you're not talking about them. You're her friend, not her savior or her therapist or superman.
This process isn't only for sharing depression and anxiety. It's also for sharing the good times, which can be even more difficult than sharing the bad ones. If you're in a better place than her, then it's up to you to share your good times with her. Which means having your own good times, something a lot of intelligent people struggle with. Otherwise, things get dragged down when all you're talking about is various miseries. So have fun! Your girlfriend will appreciate it. Have fun, and listen well, and ask questions if you want to know more.
If you want to know more about the process described here, look up Nonviolent Communication
. There's a website, and several books and Youtube videos.http://cnvc.org/