So many things. First of all, I admire so much people who are emotionally drained by needy people. It means that, it means that people talk to them, people are willing to share their lives with them, and you must love people. So, that's not very helpful, but I admire you all the same. The second thing would be this: sometimes that burden comes with people who it doesn't seem like they're moving forward, it seems as though the same issues keep coming up.
One possibility: you perhaps have noticed that talking doesn't seem to help. Their thesis might be that if they keep talking and talking about it, somehow in the midst of that things might be easier, but you know differently. So one of the things you're aiming for is simply this—perhaps to even say that! "As we talk about these very difficult things, have you noticed that it doesn't seem to be very helpful? Let's—can we try this?—Let's see what happens when we talk less and pray more." That would be one way to engage lovingly, I think helpfully, with someone whose burdens are hard for them.