Hi and welcome to pc
I've been through/still going through a similar thing. It can take a while to get used to something like this.
You said he was being supportive and that's great. My boyfriend (of 20 months) is very supportive of me, but still finds it very difficult when I'm at my worst. He loves me and that is one of the reasons why he find's it difficult when I'm feeling suicidal because it scares him and he's unsure what to do incase he makes me worse. Another reason is because he hasn't been in my shoes... noone will understand what it is like to feel the way you do unless they have been depressed themselves.
I told my boyfriend everything about my depression, all my feelings etc. and how I tried to deal with it myself... like going for a run etc and he learnt more about the way I thought when I'm depressed and some ways I try and deal with it and he tried to get me to do the things that help. I also gave him some booklets my councillor gave me to see if he understood that way. He also reads what I write here on pc (you might not find that helpful, but I think my feelings come out more when I'm talking to people who are going through the same things, so he not only knows how I feel, but what other people are suggesting too)

Sorry I wrote a lot and i hope I've helped in some way. If not, I'm sure someone else will have some ideas.

Molly