Does he talk to you about how he's feeling? If so, just listen. Don't try to tell him what to do to make things better--he's probably not in a place to hear it. Also go easy on him in terms of his doing chores and things like that. Depression sucks a lot of energy out of you.

Let him be sad and depressed around you. We often have to put on a happy face and act like everything is normal to the outside world. If he feels he has to do that at home, then that will make it even harder for him.

One thing to consider is marriage counseling. Going to that with my husband has helped him to understand my anxiety and depression better (though we initially went for other reasons). Plus it could help to discuss his leaving you twice and your fear that he'll do that again.