Depression Support Group
Depression is a real and debilitating condition that is often misunderstood by family and friends. Its meaning can range from a prolonged period of sadness to an actual mental illness with specific symptoms. Find and share experiences with others who are going through the same struggles.
Just be there for him
Such words are frighteneing and I understand your concern.
All you can do is check up on him however you can, and if you talk to him and he makes the threat again, get him to call 911 or YOU call 911 with contact info.
That is about all you can do.