What to do if someone says they’re not okay?

By checking on someone’s mental health and they tell you they’re not okay. Someone I’ve known for a while and have history with told me the night before explaining how he felt about his life and things. I checked on him today and he said he wasn’t okay, I asked how and he said he already explained to me. I didn’t know how to respond so I just asked if he needed space and he said no. So what should I do or say now? Just say okay and leave him be?
What to do if someone says they’re not okay?
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