To me it depends on the situation, if its natural then I'll just leave it be unless it is something like an injured "pet" that was dumped off outside after it grew (our neighbors were notorious for getting kittens then releasing them as soon as they got older and not taking care of them.) Clean up their wounds, try to find them a home, etc.
If it is an actual wild animal I'll let it be unless I see it suffering or if it was injured, etc from something man made. A good example would be we have a road by my house that leads down to a beach and a few fishing piers, its all mangroves back that way. Anyhow, I used to go that way a lot and I'd constantly see turtles that were trying to cross the road with their shells smashed open, unable to move, so I would try and end it as swift as possible for them if they were still alive. No reason it needs to lay there, suffer and bake in the heat while slowly dying.
If it is an actual wild animal I'll let it be unless I see it suffering or if it was injured, etc from something man made. A good example would be we have a road by my house that leads down to a beach and a few fishing piers, its all mangroves back that way. Anyhow, I used to go that way a lot and I'd constantly see turtles that were trying to cross the road with their shells smashed open, unable to move, so I would try and end it as swift as possible for them if they were still alive. No reason it needs to lay there, suffer and bake in the heat while slowly dying.