Hello Onesss, can we offer you a warm welcome.
I agree with those above me 'You can listen, and show empathy but that won't make it all go away and make everything better for him' as Tim has said plus what Tony and EM have also mentioned, and it's so easy for someone suffering from depression and anxiety to blame the person they're living with, but this is slightly different to when other couples disagree because a sufferer may always blame you, rather than other times it could sway from either side, one time you're to blame while other times its the reverse.
Even trying to involve him socially you feel baffled and resentful when your attempts aren’t well received and feel confused as to what you should be doing and normally it's impossible to get to first base and more concerning this affects how you are feeling, not only how to help him but how your mood in general is, stopping you from doing what you had intended to do.
What you need to do is seek counselling for yourself to build up the strength you maybe missing, in other words, what he replies back to you is going to disappoint you, but if you are strong then it won't affect you and will be able to cope.
If he has trouble concentrating and can’t get things done, maybe a problem affecting you and everyone else, and by talking with a doctor/psychologist, someone different may make him understand what's missing or solve the problem, it's not necessarily up to you at this stage to begin this help.
Best wishes.
Geoff.