If you suspect that your friend is depressed and may be considering suicide, it is crucial to take the situation seriously. Among the options you provided, you should definitely avoid "leave him alone to work it out."
While it’s important to respect someone's space, a friend in crisis often needs support and may not feel capable of reaching out for help themselves. Instead, focusing on the other options—such as expressing your concern, listening carefully to what he has to say, and possibly involving an adult or professional if necessary—are much more supportive actions.
It's vital to approach the situation with sensitivity and care. If you believe your friend is in imminent danger, it's essential to seek help from a professional or contact emergency services.