What about finding some resources for your boyfriend to read about depression? There are lots of great articles and books out there -- even some tailored specifically to the loved ones of depression sufferers -- that might be able to help him understand what you're going through.

If that doesn't help, try using this analogy (it's worked for me in the same situation): "If I had any other disease, would you think you caused it? If I had diabetes, would you think that was your fault, or that there was anything you could do to fix it? How about if I fell down the stairs one day and broke my leg? Could you make it heal any faster?"

It might be that your boyfriend is feeling a little helpless in the face of your depression, too. My dad is that way. When my depression was really bad, he drove himself crazy worrying about me, and the fact that he couldn't really do anything made him feel pretty helpless. And the fact that I was making my dad miserable just made me feel even worse, so it was sort of a vicious cycle. Finally I told him that loving me was enough, that knowing he cared about me on the days I was incapable of caring about myself was the best thing for me. And I humoured him. He calls me a lot to see how I'm doing and I make the time to talk and assure him I'm okay; he tells stupid jokes that aren't actually funny but I laugh so he thinks they help; he looks up all kinds of information I already know about treatment options and I thank him for this advice and his understanding. Sometimes, for the "doers" like my dad and your boyfriend, I think the worst thing is for them to feel useless. If you can, just let your boyfriend do whatever it is he wants to cope and help with your depression. Even if it's not directly helping you, and as long as it's not putting any kind of pressure on you, it may calm him down enough to wind up lowering your anxiety levels as well.