From personal experience there is nothing you can do to help with his depression. There was nothing anyone could do to change my depression until I took my own control to change what was causing it. In my case it was my marriage that was at the foundation of my depression & it couldn't get better until I left. Marriage counseling did nothing except reinforce my need to leave. You cannot fix him & trying will usually make things even worse. Best thing IMO is to radically accept that you 2 were not compatible no matter how you want to excuse it away & accept that is how he feels. Better to know it now then to end up in a bad marriage. I wish I had listened to tge red flags I felt before the wedding it would have saved me a long marriage of fighting. Just because it isn't how you feel. Sometimes it just takes something to make the other person know the relationship is wrong. You can never have a good relationship when one person feels that way. My ex was clueless that the things he did before & after the wedding changed how I felt about him forever & it only got worse with time. If he doesn't want to be with him, respect that & don't try to force it because it can only drive you away even farther. Probably wise he blocked you to save that from happening to both of you.
Don't excuse a realization of incompatibility away on depression.