Speaking from experience.. I never really made up friends or anything like that, but when I was depressed and my anxiety was going untreated, I definitely became something of a chronic liar. It felt right, I can't explain why..
Honestly, going to a psychologist regularly (Cognitive Behaviour therapy is highly recommended for depression, and it's what I found the most effective), and getting put on antidepressants definitely helped me stop lying. When I would lie, I'd honestly believe what I was saying..it felt like I was in a fog. It's definitely a coping mechanism. Sit her down, tell her that you worry about her (I wouldn't mention the lying, let her come to that on her own), and that you think she'd benefit from talking to someone. Explain how it will improve her life. If you want, PM me and I'll give you my email to give to her. She'll just keep getting more miserable if no one interferes.
She's already got a great support system obviously, since you're caring enough to seek out help for her. That's the most important thing to a depressed person. If she tries to push you away, don't give up. I did that to my parents, even though I would secretly want them to stay, and they never stopped trying with me. That made all the difference in the world. Most importantly, remember that she's not a terrible person. Hurting people is not ok, but she probably doesn't see or understand that she's doing it right now; she's so wrapped up in her own problems that she's oblivious. Be patient with her, as hard as it is. A lot of people who've never dealt with mental health issues have a hard time understanding their method of thinking, so just try to be empathetic. Just leave the confrontation to a professional, so you don't cause a rift between yourself and her.
I know I didn't address the lying as much as I should have, but I honestly think seeing someone will help get her on the right track. Best wishes!
ETA: Great advice in the post above mine! I definitely agree with her points as well.