All I can suggest is, don't give up on him. If he was suffering from Cancer, or some other disease, you wouldn't leave, right? Well, his depression is another kind of illness and he may need you to MAKE him get into therapy. Tough love I guess...
He can't see things the way you can, his mind is negative and I'm sure he's completely terrified too! And ofcourse, him being male, I'm sure he isn't one to
openly talk about
how he feels on a good day, so add as well.
He needs therapy to fix himself and probably medication too. If you have to go with him to the DR's, then do that too.
Please google Depression Fallout. There is some good information to help you out as you are the one who isn't suffering from depression, but it does affect you.
Good luck and please, keep posting. Many people here are so helpful! You're not alone in this!