Learn as much as you can about
depression and understand that any negative thoughts, feelings, outbursts, if he treats you badly, is rude or verbally abusive to you IS NOT YOUR FAULT and you haven't done anything wrong. It's the depression talking, not him.
Get him to therapy, and on meds, hopefully he is willing to work hard NOT to let the depression control him, and he can cope better. If he is in denial at all, it'll be even harder.
I commend you for sticking with him seeing as you two aren't married or don't have children involved. It takes ALOT of strength and courage to work through everything, so you also might benefit as well to go to therapy to help him, and to understand the disease he's fighting.