Boyfriend is Depressed

Last night my boyfriend and had sex for the first time since AF ended. He at first was tired and unsure if he wanted to, but I put on some stockings and his favorite dress and he got into it. Everything was going perfect, until he pulled out and said he wasn't horny anymore. I asked him what's wrong and what happened and he said he had been feeling depressed lately. He's suffered from recurring depression, but he doesn't like to vent. I tried asking him how I could help but he said there's nothing to do, the episodes take a few days to go away. I feel like I did something wrong to upset him, but he said I didn't and he kissed me before he fell asleep. But now I just worry. How can I help him if he has no idea what started the depression? The things I do to help me with my depression are not right for him. I feel so lost.