Welcome to the forum!
Trustlife has already given good advice. If the man you're seeing is someone you love and trust, and see a future with, it's crucial that he is aware of the depression. Supporting each other in a relationship is so important. There is a chance this man is already aware that you have mental health difficulties. If you spend a lot of time together, he may have sensed that you struggle with your mental wellbeing at times. Like Trustlife said, you don't need to tell him everything at once. Open up to him gradually, when the two of you are alone and in a relaxed mood. Go with your instincts, and calmly explain what you're going through and how you're feeling.
Try exploring this beyondblue link: https://www.beyondblue.org.au/get-support/have-the-conversation
I hope you can open up about your depression soon.