How to say this articulately... From what you say, it sounds like he wants to be depressed in the sense that his identity and sense of self is defined by him being depressed/ a victim. I've known a couple of guys like that who almost take pleasure in being if not depressed, then certainly having a very negative view on life, finding a bleak outlook whatever the situation and feeling like the victim in any situation. As you say, it gives him a level of control over his life.
It sounds like moving down south and becoming isolated has enabled him to feel even more like this - "DW made me move down here even though she knew I'd hate it. Now I have no friends and no life and I do hate it and it's her fault". Thinking like this not only not only gives him his identity but also absolves him from (a) taking any personal blame for the situation and (b) feeling any responsibility for improving the situation. "DW has made me miserable, it's her fault, why should I have to make it better?". I exaggerate what's he thinking, but conceptually it may be along those lines.
As other posters have said, my guess is that moving up north won't be the answer in itself. Let's say you do decide to move back - from what you say about him, it sounds likely he'll find it negative in some way/ not as good as hoped and, given his current state of mind, blame you or at least not take any responsibility for this. That's not to say you absolutely shouldn't do it, just that it probably won't make much difference in itself.
Equally though, getting him to go for any sort of counselling will be very hard. Firstly, most guys are very reluctant to do that sort of thing (and I speak as a guy!) secondly, he probably doesn't view it as his responsibility to do so and thirdly because he enjoys being the victim. That makes it pretty tough to help him.
Just from an outside perspective, for starters what he needs to do is take some sort of responsibility for his life rather than wallowing in a victim complex. This could be as little as going out to the pub or gym more often, or something as trite as joining some sort of social group or finding a new hobby, but something that he chooses to do rather than you push him into. You can help as much as you feel able, I guess, but not choose, e.g. maybe find local band auditions, rehearsal rooms etc. and give him the information. Ideally, he needs to go to counselling or at least speak with his GP but it'll be tough to achieve it. Even if you agree a trade (e.g. you move up north, he gets treatment) it's very easy to renege on it later.
More importantly therefore, he needs to understand that he needs to do it to help/ save your relationship - that doing nothing is not an option for him, otherwise he'll probably do exactly that. How to do this it pretty tough, but you should make clear to him how you are feeling, that you also are feeling depressed and that you are planning to do something about this because you're finding it a struggle to live like this. Ask him where you think you are as individuals, as a couple, in one year, five years, ten years. Tell him what you're willing to do whatever you need to save/ help your relationship but that you both need to do it.
NONE of this, by the way, it to play down the possibility of depression or how, if he is depressed, he needs treatment (one of my closest friends has/had clinical depression and it can be absolutely devastating). As Baffy says though, you need to be careful that he's not using the 'depression' as a negotiating tool. As it is, whether it's depression or not, it doesn't make an awful lot of difference if he's absolutely unwilling to get it diagnosed or treatment.