It sounds like you could use some good advice. I'm not sure I have any. I would suggest taking a look at
Al-Anon's web site. It's a group for family members of alcoholics.
I don't know if your fiance is technically an alcoholic, but it sounds as though his drinking is causing problems for both of you, so Al-Anon might have some suggestions.
Also, if you see a family doctor or psychotherapist or psychiatrist or really any kind of medical doctor or counselor, that would also be a good person to ask about this.
One thing I wondered about is if your fiance takes any medication regularly that might be interacting badly with alcohol?
I hope some Psych Central members with more knowledge about alcohol problems will reply to your post.
I think it's important to do what you need to do to take care of yourself in this situation, especially since you have a problem with depression. You may or may not be able to help your fiance or to persuade him to get help, but please take care of yourself.