Boyfriend emotionally closed off :(

So my boyfriend struggles with himself. I’m not entirely sure with what because he won’t open up and talk to me about it. I know he feels depressed, I feel like it’s partially because his line of work. He joined the USMC and I don’t think it’s what he expected it to be like. Before boot he was super sweet and vulnerable with me. Even then he was still a bit closed off but now it feels like it’s gotten worse. He’s depressed and he’s hinted at suicidal thoughts before. He assures me that he won’t do anything but I can’t be too sure because he doesn’t talk to me about his struggles! I feel so guilty because last night he called me but my phone was about to die and I was in the car so I told him if the call ends it’s because my phone died, I told him he could call me later if he liked. However I found it weird cause I’m usually the one calling him or asking him to call me in his free time. When I got home he messaged me telling me that its because he’s starting to feel like before, referring to being depressed but he left it at that. I feel like he was about to open up during that call but I didn’t give him the chance to. I feel horrible not being able to help him because he doesn’t talk to me about it. Idk what to do :( has anyone ever dealt with something similar and have any advice???