It is perfectly normal to wonder why things turned sour so quickly.

It is entirely normal to want to make peace with the whole situation.

And no: you most definitely do not have any responsibility for his depression, or for any other actions he took or will take. Simply put, no one has that kind of power over another person.

The healthiest thing you can do for yourself is to ask yourself to be at peace with the odd mystery of his behavior, and to fully accept that your relationship with that person is completely over and done. It will probably take some time. When you do have peace and acceptance you will be able to move on.