It sounds like you've been through a lot so being scared is perfectly natural.
Only share with him as much as you feel comfortable with. If you feel pressured in any way to tell him, then don’t. It should be your decision about when the right time to open up is. You don't need to tell him because you feel you have to. Share with him what feels right for you.
You can tell him a stage at a time if that’s easier? First you could start by telling him you’ve never had a relationship before. Naturally over time he’ll probably ask why and want to take the point further, at which point you can open up a little more about suffering from depression if you feel comfortable doing so.
If he’s as lovely as you describe, he won’t mind waiting and I’m sure he’ll be understanding. If he’s not, you deserve better.
Starting a physical relationship slowly can also be a good thing, so don't worry about taking things slowly. It can give you time to get to know one another without physical intimacy. Take things at a pace you’re comfortable with. It’s OK to just want to hold hands. Be open about wanting to take things slow and I’m sure he’ll respect that.
I hope this helps a bit. You can always post on here if you need any more advice! I know I’ve found it useful at times X