Consistency is important. Don't start avoiding him if he's depressive and shutting down, go about your daily routines like normal- even if it takes a little pushing to get him to do the same.

Quiet understanding and not judging I think would be the two most supportive positions to put yourself in. Basically, if you'd normally go to his place, eat dinner and chat and then watch TV and chat, do exactly that- but if he doesn't want to talk don't force it, just being there with him while he's working it out in his head is probably the most comforting thing.

When he's depressed here's what's going on: he knows it's depression, not logical sadness, but knowing that doesn't make it any easier- it just makes him aware that he shouldn't be feeling that way and that others know it too, and that leads to guilt. Guilt leads to more depression, and it leads to self-disgust because you're pitying yourself, which leads to more depression, etc etc- its a vicious cycle wrought with criticism and shame all of your own doing. So he'll clam up, because he doesn't want to be a burden, but he can't turn it off either. He'll withdraw because he doesn't want to have to fake being happy around you, so it's easier just to hide from you until he feels better or can work his way out of it. He'll be very aware of how his mood affects yours, and it will just amplify his own negativity and feelings about himself, so you acting normal, being understanding and not expecting him to talk or comfort you while you understand that even though he wishes you could, you talking and comforting him will not do anything but make him feel worse that he can't respond to that if he knows you're expecting it to.

So essentially you want to be a stable thing in his life, don't let his mood affect you, and he will do his best to anchor himself to your stability and do his best to keep from affecting you negatively- he'll do his best to keep steady. But you'll need to show that his mood doesn't affect you, but that you can respect when he is depressed- if that makes sense. It's kind of like that ability to be comfortable enough with someone to enjoy the silence, except in this case it's you understanding that you can't fix him but your own stability will make it a lot easier for him to pull himself out of it, as long as he doesn't feel like a burden in the process. And in return he will love you dearly and probably never be able to express that to you, but ultimately you're the center of his happiness... Which can be dangerous, because if you peace out, it will probably break him. If he's fallen in love before, then he's experienced this- and the only thing worse than being depressed in the first place is having found happiness and then falling all the way back to rock bottom again and experiencing that downward spiral. The "roller coaster of emotions" analogy is actually pretty good. The anticipation going up the hill to the top and then falling all the way back to the ground is worse than just staying on the ground. So if he's been through this before, it might be difficult to get him to ever rely on another person like that again, because the potential for happiness is vastly outweighed by the potential for utter misery.

I hope that made sense, it's a real shit existence, and there are a lot of ways to fall into negative feedback loops that just keep you in the same rut, it takes someone truly special in his life to be the kind of pillar of support that he needs. But he knows he's broken inside, and you have to understand that if he feels like he loves you, he might push you away for your own benefit- he knows he'll never escape the depression, and he doesn't want to drag you down with him...

Its probably not what you want to hear, and I suggest you do what feels right for you, I'm just saying that he knows he's a mess and if he pushes you away it's because he's trying to protect you from himself.