Depressed fiancé left me

My SO recently told me he wants to break up because he's 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 to get help but he's not ready to take that step. We have been together for 5 years and he has been suffering depression for 2 years. I felt like our relationship was going quite well compared to other times during 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. I'm looking for some support and maybe someone to shed some light on the situation?