This is difficult to answer right on, because it depends on the entire situation, as to my relationship with the student, etc. I would try to talk with them privately about how things are going and if they would like to talk. I may direct them to a guidance counsellor who is better trained than I to discuss mental health more specifically, but I would try to offer as much help as I could.
[You wrote the sentence perfectly, by the way, except English should have a capital :)]
Teaching In Real Life 