No offence to smolingforth but I don't think being in a relationship with someone with depression is anything at all like if they have any other illness.
This is a mental illness and changes (hopefully temporarily) the fabric of who someone is.
At best they are tired, grumpy, off sex, unnaffectionate, tearful, hopeless, uninterested in you, uninterested in anything, their perspective of you and your relationship is skewed and they are detatched.
That's pretty horrible to live with.
At worst they are angry, blaming, nasty, manipulative, lose all feelings of "love" for you completely, turn to porn, alcohol or affairs to try and feel something again and generally break you down completely.
I am not saying every depressed person behaves that way, but certainly some do. It's enough of a "thing" for there to be books on it (Depression Fallout for example) and websites on it (Storied Mind for example).
For the most part it can feel like treading on eggshells and sadly in men the symptoms can be very diferrent to women and the sadness and lethergy can be replaced with blame and aggression.
When my ex partner was deperssed he acted like he hated me and I was his enemy and it turned out he blamed me completely for his illness.
It can be an absolutely horrible illness that can strip a person completely of who they were.
I read quite a few threads on here where people say "depression doesn;t make you do that or behave like an abusive arsehole". In fact I used to believe that too until it happenned to me. It is a hidden epidemic. Google the "unnofficial symptoms of depression" and it is exactly what I lived through as well as many people from an onlien support group who experienced the same.
I am sorry OP but I feel if he is not sharing with you and acting paranoid he might well be casting you as the villain in his counselling sessions.