If there are no children or other complications, I would not hesitate to leave. The relationship could be part of why the depression persists, and I don't mean that in a "it's your fault" kind of way. Some people just mix like oil and water.

It is possible to leave in a nice way. My divorce followed telling him "I'm tired of hurting you. I'm tired of being hurt. I think we both really gave it our best. If we could do this dance, we would have figured it out by now. I want a divorce." He breathed a sigh of relief and agreed. We both cooperated in making it amicable and not a disaster for any involved party.

Leaving doesn't have to be a case of abandonment or rejection. It can be a case of gently setting both parties free.