Whatever is going on it has to do with your boyfriend, and not you. It’s very hard to be with someone who is chronically depressed and/or who isn’t doing anything to help himself with his depression. I’m not sure how long you have been dating, but it seems odd that he would say he’s been depressed ever since he met you, but yet, continues to date you.
Regardless, I think you have to take him seriously, and when he says that your relationship is what makes him miserable and unhappy, you have to understand that this is not Mr. Right. While you may think you’re perfect together in so many ways, when a relationship makes one person miserable, those other ways don’t count.
It’s time for you to be with someone who is happy to be with you and you with him.