Having depression is tough, but supporting a partner with depression can come with its own range of difficulties. LifeHacker published a great primer on how partners can support each other through mental illness.
The first piece of advice is to not take your partner's depression's symptoms personally, or to make sure you remind your partner of that. Understand that it's not your fault and is likely rooted in things separate from your relationship. It's also not totally your responsibility to "cure" it. But there are way you can support each other.
Both partners can develop a plan to deal with the depression. In this, you will identify, agree and stick to what each of you can handle. You will give each other space on bad days. And in the end, whether the depression subsides or hums along, knowing that you have each other makes everything a little bit better.