Overweight boyfriend

I need advice. So my boyfriend of 5 months has been overweight ever since I met him. He's not obese, but I am really worried for his health. When he eats, especially something with sugar or fat, he eats an insane amount, and he doesn't exercise (more than when I'm with him ;)). A lot of the dates we've gone on have centered around food, but it was too early to talk to him for so long and I wasn't sure how to approach it. He knows he's in bad health, but he tends to be depressed so his focus is on that. Food is when he's happy and sad and I don't know what to say to him when he's about to eat too much... I keep beating myself about it because I've baked cookies with him and stuff. It's hard to find ways to exercise outside with him, so I'm going to focus on his diet first.