my boyfriend is sad and I don't know how to help

Lately my boyfriend has been very sad and he's even admitted that he's feeling sad because of a lot of stress and he's disappointed. He doesn't have many friends and I'm pretty much the only person he hangs out with. He always gets down on himself when I'm not with him and I don't know what to do. I've been depressed before and I think this may be what he's going through. I just don't know what to do or how to help him because he's very sensitive and emotional :(