Most Helpful Guy
In remaining silent about your feelings, you are doing both him and yourself a disservice by projecting someone you no longer are.
You are not responsible for his happiness, nor is he of yours. And you do not have to be with him... to be there for him, to support him, and see him through his depression.
Sure, staying with him will likely benefit him, but if your feelings for him remain as they are, the benefits will possibly be transitory. And you, you will likely start to resent being with him. Which he'll ultimately pick up on. Thus, worsening his depression.
Help him by being honest with him.