Loving Someone With Depression

Anyone else out there dating a man with depression? It took a long time but I finally believe him now when he says that it's not me that makes him feel the way he does but FUCK in the first couple months I was so rough on myself. He pushes me away when he needs space to not burden me but all I want to do is help. It's so hard to understand that leaving someone be is the best thing for them sometimes it feels like I'm giving up. How can I help him? Any advice from women in relationships with a third wheel (depression)? Pls help