Is he trying medication? Therapy can be helpful for learning coping strategies and working through specific situations, but brain chemistry is what it is. Meds can be life changing.
My husband has battled depression on and off for the 20 years I've know him. It is draining, for him, for me, and for our relationship. We're divorcing now, because he blames me for his unhappiness. Our time apart has made me realize how much of my life was put on hold to try to cater to his needs and his unhappiness.
I'm not saying leave him, but do take steps to take care of yourself and make sure you maintain your own interests and friendships. It's not something that's going to just go away, it's often a life-long situation that will need more or less management at different points.