Don't go out with him. Yes, he's a nice guy, but that doesn't mean that you have to date him. You don't go out with people just because they treat you as a genuine human being instead of like an object. You're not a vending machine. Nobody can just treat you nicely and get a relationship in return. You alone can decide what to do with yourself.
You don't owe him anything. Yes, he does have depression and other problems, but that in no way entitles him to you. You are not an object. His wants and needs do not in any way need to affect yours.
Besides, you don't need to be in a relationship with someone to be happy. Three year olds are generally very happy, and last I checked, they don't date people. You don't need romance or men to be happy. Your worth and your happiness does not depend on making someone else happy.
If he does kill himself, you need to understand that IT WILL NEVER BE YOUR FAULT. I know he's a good guy, but if he believes rejection means the end of everything for him and that no one loves him, he needs psychiatric help, not a relationship. He isn't emotionally ready for a relationship if he's suicidal.
By the way: especially don't date him out of pity. That's an even greater blow to someone's self esteem. No one wants to be pitied. No one wants to be the second option. For a lot of people, it has to be "I'm always your first choice" or "if I'm not, then we shouldn't be together". No one wants the humiliation of knowing they're not the one who you want and they can't be the one to make you happy. And maybe you won't let him know that, but if you end up dating him, chances are someone else will undoubtedly come around and he'll find out, which will definitely be worse.
Talk with him and explain how you feel, but you need to continually assure him that simply because you don't love in romantically doesn't mean that no one else will. Don't let him try to push you into a relationship and stand your ground, but he also needs to know that just because you don't love him like that doesn't make him incompetent or worthless or somebody no one can love. He seems like a very loveable person; you just don't love him in the way he wants you to love him.
And don't pay attention to anyone who complains about you "friendzoning" him. You haven't "friendzoned" him: HE has girlfriend-zoned you. You were friends before he thought of you romantically; he is the one that put you into a romantic position mentally. Yes, you can still be friends. Yeah, you'll probably need your space for a while, but understand that neither of you are able to control your feelings. You can't "learn" to love somebody. That's ridiculous and sexist. You feel the way you feel, and if you see him as family ... well, something tells me maybe you don't really approve of incest.