Depression is Changing him...

My boyfriend (who I live with) is becoming more & more miserable and depressed. Any option I give him gets shot down. I try to talk with him, offer solutions such as speaking with a therapist, exercising, making goals for himself... but he says he has to do it on his own. Has anyone ever dealt with this before? I wouldn't mind letting him deal with this alone, but I hate seeing him completely out of character and being alone with his struggles. We've been together for almost 2 years now, I want a future with him- why wouldn't I want to support and make sure he's okay?