Depressed fiancé left me

My SO recently told me he wants to break up because he is unhappy. He said he still loves me but is tired of hurting me and bringing me down all the time. I feel lost. I tried everything to try and get him help but he's just not ready to take that step. We have been together for 5 years and he has been depressed for 2 years. I felt like our relationship was going quite well compared to other times in the 2 years he's suffered depression. I just don't know what to do or say. I'm so lost and feeling sick to my stomach. Looking for some support and maybe someone can shed some light? Please help me