I deal with depression and my boyfriend can be so helpful sometimes. I thought I'd share what works for me. Obviously this may not help him but its worth a shot. (I should mention that this doesn't cure my depression and my main management is still meds, therapy, and all the self-work my therapist has me do. You won't be able to that for him, and without it there's not much that will help him.)
Things my boyfriend does that seriously make it feel better:
1.) He just listens when i'm upset. He doesn't give solutions or get upset himself he just listens.
2.) He doesn't shy away from talking about my depression. We treat the topic like a medical condition and talk about the doctors, meds etc.
3.) If its obvious i don't want to talk at all, he lets me. This is probably my favorite when we are together i dont know how it would work long distance. Sometimes he puts his arm around me or holds my hand or just talks about random stories or watches T.V. or sits silently while I cry or brood or shutdown. He's present but he doesn't over-react to my display of emotion.
4.) He asks me how I'm doing. He invites me to talk about my depression but doesn't make me talk about it. He lets me know he's thinking about me and cares about me.
5.) Long hugs, and back rubs when I'm down.
6.) When I'm not down he doesn't bring up "last time when I got all upset" or make me talk about my depression. We just enjoy it and do normal couple things.