I'm sorry you are having a problem with your SO and if you have known him for a long time; he should know your moods...and how to react or not act with your depression.
All of us want our own space at times, and hopefully it's not just when we are depressed.

Do speak to him about this and let him know your feelings. Men are sometimes really
wanting to fix things for their women...and can wear you out trying. Maybe he only needs to listen. If that is your expectation, let him know. And of course, maybe he
needs some emotional help from you now and then too.