Absolutely notify the chain of command – IMMEDIATELY. If the Soldier lives on post then the gun is required to be registered on post and the command can utilize the PMO to have it secured in the Arms Room for the Soldier’s safety.
If the Soldier lives off post then it is a bit more difficult. However, the Soldier’s spouse could voluntarily turn over the weapon to the unit. To forcibly remove it from off post quarters the unit would have to coordinate with the local authorities and get a court order.
The first course of action would be to ask the Soldier to voluntarily turn over the weapon to have it secured in the Arms Room. The medical personnel should have had the Soldier evaluated by a Behavioral Health Provider when the Soldier first reported they were down and depressed.