How do you deal with friends who self-sabotage?

I love said friend very much. There is nothing wrong in our friendship - I get emotional support, fun, intellectual stimulation. But he's very good at making decisions that are harmful to him and his life. That being said, he has a history of depression and therapy. He's extremely intelligent and spends a lot of time in his own mind. I already know I cannot help him and he would never ask anything like that of me - he takes full responsibility for all of his actions. It's sad watching him getting into his own way. How do you deal with this? "Breaking up" is not an option as this friendship enriches my life immensely. I treasure what we have.