It is difficult to know what is the cause of his depression. It could be something in his life is not exactly the way he wants it to be. A life situation, job, money, body image??? Dwelling on these things cause suffering. But, it is not because of you or your relationship. Talking to him might help. Or just being with him might get him to start his thoughts on something better. That is what is needed to bring back the mind of the  person you care about. To get his mind thinking of better things, better times. Drag his thoughts out of himself. He might open up and let you in on his feelings.

Being alone or being left alone?? Personally, I do not like that option. I have had fights with my wife where she just wanted to be left alone. I refused to let it be. I held her. Did not let go. Apologized. Admitted blame or whatever to get her to let go of her anger. She would struggle to get free but I held on. Stayed up half the night until her feelings were better and no longer angry. Yeah, sounds stupid. But, I do not regret showing her I cared. And I do not regret admitting fault even when I was not at fault. The relationship was more important to me. I do not know if this will help you.