First, what does your friend's physician say?

I think it probably depends on the dose and the indication. If it is
for HIV, it may be that he could use a lower dose or for a shorter
period. If it is for other indications, may be more difficult. See,
e.g.,
http://www.aidsmeds.com/drugs/Proleukin.htm
and
http://www.aids.org/factSheets/472-Interleukin-2.html

Depression as a side effect sounds a bit unusual, however. He might
try indomethacin to reduce inflammatory side effects that--I'm
guessing--may have an impact on his mood?

        George M. Carter