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The one thing that may be worse than suffering depression is being in a relationship where someone is suffering from relationship depression. It can be torment to see them go through this period in their life. There never seems to be any end to it and as it wears on both parties many relationships because of it.
Depression makes people think irrationally and causes them to be blind to the good things in life, like you. Their attitude towards everything you do to make them feel better will make you feel like you are wasting your time. It's not,so don't give up.
Being there for them means more to them than you might think. They understand why you would leave and will even probably try to make the decision easier for you. They don't really want you to leave, though. Most know they need help and want you to be with them.
Understanding depression is one of the keys to help you, and them, deal with it. Learn as much as you can about this mental disorder. Seek out to find what causes it. Trying something and failing could cause as could losing a job. There's heaps of reasons depression can start and it can feed on itself once it gets a foothold even if you are in a strong relationship.
Be sure to take good care of yourself in this relationship. Depression can be contagious if it's left unchecked. As you learn about depression keep a close eye on yourself to make sure you are not exhibiting any signs of being depressed as well. Don't delay in getting professional help if you do notice any signs. A relationship with both parties suffering depression is not a good thing. Be sure to step back and keep some time to yourself if you feel like you are being worn down.
A past relationship and depression sometimes go hand in hand. When a relationship has failed it is easy to feel like every relationship after that is doomed to fail. Once someone begins feeling that way they will many times turn their current relationships in to a failed one. If this has begun to happen it is important to get relationship advice from marriage counselors and work with them to prevent it.
This is not the only reason that marriages or dating relationships fail while one is in depression. Putting up with the pressure may cause it to suffer. Seek relationship advice from trained professionals as much as possible.
Most importantly, do not give up. Believe that you can help them overcome their depression and believe that the effort you are making matters. There are few things more powerful than what can come from a strong relationship. Depression is nasty but it can be beaten when you have someone who loves you to help.