This situation is difficult because there is little that you can do to help him overcome his depression. You can and should encourage him to seek help; this in one way in which you can be helpful. But ultimately, he is going to have to make the decision that he wants to get better and then he is going to have to get help for this problem. Because of this, your power may be limited.
I commend you on sticking by him to help him through this difficult time but I am wondering exactly why you are doing this. Are you doing this out of guilt, because you feel you cannot break it off with him while he is so depressed? Or are you doing this because you truly want to be his girlfriend? The reason why you have decided to stay with him is of profound importance.
If you are staying with him out of guilt, this is unhealthy and it would be wrong, for not only you but for him as well. It is not fair to stay with someone because you feel pity for them. It is the wrong reason to stay with someone. You should only continue a relationship with someone you want to be with.
In addition, if you are staying with him out of guilt, you may also start to feel resentful toward him. As you mentioned, you are already worried that his depression will bring you down, and chances are it will have an effect on you. It may be easier to stay with him because you feel bad for him and you do not want to further add to his already sad situation but recognize that it would be very unhealthy for you to do this.
If you are staying with him because you truly want to be his girlfriend, then there are other issues to consider. One is that he is, at this point in time, unable to have a healthy relationship because of his severe depression. You should suggest and insist that he get help. He needs counseling.
If he is unwilling to seek help then you do have to reconsider your relationship with him. Why? Because it is extremely difficult to continue a relationship with someone who is so unwilling to get help; in fact it’s almost impossible.
It may also be helpful for you to seek therapy during this difficult time. A therapist can help give you guidance and advice, much more than I can offer you through a short letter. Take care.