He feels nothing for me

Please don’t see it as a failure, it really isn’t ,you were probably influenced , like so many of us into thinking that it is our responsibility to make things work, and our fault if it doesn’t..
Park those thoughts aside, you have done your best, but now it is time to let it go. .... be free & be happy..... it can be done best wishes

I agree that someone in the throes of depression might logically know who they love, but one of the symptoms of depression is numbness. An utter lack of feeling - including love.
If he is depressed, he just might not be able to experience the feeling of love at all. It's not uncommon.
He also may be unable to seek help.
Depression is very serious and can deeply affect a relationship.
The OP needs to first see if he will be able to seek help. And get counseling herself to help her understand the manifestations of depression and whether or not she can live with it if he either won't get help, or isn't able to get better - even with help...

Depression can manifest as numbness, or lack of ability to feel. If he's depressed enough that he's lost his ability to feel, it may be a lot more serious than "nothing that can't be worked through". He may need professional help, meds, etc. And recovery may be very prolonged and/or incomplete.
I suggest talking to him to see if he will get help. It's possible that telling you something like that was his was of asking for help.
I also suggest you get counseling yourself, or read a lot about depression and it's many symptoms online.
It can deeply affect a relationship and learning as much as you can will help you make informed decision on what you think is best.

Please keep in touch and let us know how you are managing this situation, * Joyfulnanna*.

I think he has laid his cards on the table and if you you accept them and stay you are opening yourself open to abuse. He has put you into an intolerable position. I once stayed after such a declaration... ‘ I’m not happy’ the next few years were very painful. When someone decides they don’t love you, often because there is someone else waiting in the wings, it is over and he is showing no mercy. It is easy for us to look on and direct from afar it is a very hard situation be in. If you can find the strength to leave you should. Living with it as it is will harm you. So all strength to you. You are already brave