Welcome to the forum.
1st - Admitting that there is a problem is an important 1st step!
(I'm sure some people don't realise that there is a problem)
2nd - Recognizing that you need (or would benefit from) help is as good as any 2nd step!
3rd - Asking for help and to whom ? is really hard who and how do you ask ?
Men tend to suffer their MH issues in silence, it is as if we are pre-programmed not to want to discuss it, particularly with other men. Whereas women (perhaps I'm generalising alittle here) seem to be that much better equipped to communicate from the outset. From what you have said, I'd try and find someone you can talk to other than you girlfriend, particularly if there is a risk that it might be too much for her to handle right now.
As suggested by c.j, if you can try and ascertain what it is that is making you feel depressed, that might also help you work out what to do next ? One thing is for sure though, you are not alone!