Breezy~Day,
I think you should be very honest with him but understand that is difficult. Being someone who cares deeply for a person with depression it is helpful to know what to expect. I think it is important to develop a way to communicate so when you are struggling, they know you are safe and what to do to best support you. This conversation may be ongoing if you deal with depression. In my humble opinion the most difficult part is when the communication has not been put in place and the partner struggles to understand and figure out how to be supportive without being smothering.
Good Luck!