Re: I think it might be depression
Yeah it's depression most likely and he should seek help. I have something similar and am in the process of sorting myself out.
Don't think that it's somehow your fault for not making him happy, it's very hard to change a depressed persons state of mind, there is something very deep within his mind, which is causing this, and he will need help either with medicine or therapy to overcome it and that will take time.
And you will need to be there for him, to support him. He has already noted he is grateful for having you, so you have already been a huge help.
It's hard for people who have not had depression to understand a depressed persons state of mind.