What helps is to stay calm. If he's wasting time worrying how you're reacting instead of working on himself, it will just take all the longer.

Don't go away. Don't be clingy, but don't abandon him, even if he wants you to. Let him know when you're thinking of him. Keep him updated on what's going on in your life, in very short bits, like sound clips. And let him know that you don't expect him to respond, that's not the point of you keeping him updated, that the point is that you want to tell him something, so you are. It helps a lot for a depressed person to know you aren't just sitting around pining for them, it takes that guilt away.

Try to accept without getting the whole scoop. If you dig, he will run further. Trust what he's saying. It probably killed him to tell you the truth, so that shows a lot of love and respect. Let him know you appreciate him telling you what's happening rather than just going away, and that you'll be there.