I am not entirely sure what to suggest other than to ask if either or both of you have considered seeing a GP/medical doctor about your depression? They can run necessary tests to make there that there is no physical cause, as well as refer you to mental health services if it is something that you would want/ need / be open to.
Obviously given you are both adults your fiancee would need to be open to doing this for herself, but you could offer to support her through the process, or at least go through the process for yourself so she could see what it is like and see you taking some steps to take the best care of yourself that you can.
If that doesn't feel possible, are there any friends, family, or other types of support either of you could seek out? I know a lot of folks find solace in religion, so that type of support could also be an option too.