Fry recently revealed he tried to end his own life last year (12) by downing pills and vodka during a work trip abroad, and the news came as a total shock to his friend and colleague Davies.
The Jonathan Creek star appears alongside Fry on British Tv show Qi, but Davies admits he never knew about his personal struggles.
He tells Britain's The Sun, "It can be very difficult for Stephen. What I can say is that Stephen was on fantastic form recently on the last recording of Qi. He was up and happy and not in that bad place... When it's somebody you know, you wish you could have done something. But if you don't know, you don't know.
"It shocked everybody because it's hard to believe somebody so loved can be in a corner on their own feeling down - but that's the reality."
Davies also praises his friend's bravery for speaking out about his mental health troubles, as his candour may help others: "Stephen is so good about talking about these things publicly because it makes a big difference to other people suffering from depression."