You can't help him. Please, don't even try. You're just going to get even more frustrated, and end up depressed, yourself. When a guy gets like that, the best thing you can do, for yourself and for him, is to distance yourself. When he's feeling better, he'll come and pull you back.
If you've been together for less than two years, I'd recommend suggesting to him that the two of you take a break in your relationship. Even though it will be hard on you, he won't realize how much his depression is hurting your relationship until you're not there anymore.