How can depression affect a relationship?

For the past couple of yrs I have been struggling with depression. I have went to one counselor,but she didn't really help much, so I am waiting ot get my insurance back to start going to another counselor.. With my depression I usually loose intrest in things have toruble sleeping n sometimes feel worn down other times I will feel like i have abunch of energy and need to just keep moving and doing things.. I have been with my fiance for almost a yr and a half, but my anxiety and depression is putting stress on our relationship alot.. I know I can sit and talk with him when my depression and anxiety kicks in.. it's just hard to and I really don't know why.. Before I got with him I was in other relationships and was very active sexually..Since I have been with my fiance it seemed to have stopped. I have times that I will go days wanting to be active and then days or weeks where I just feel worn down and tired and not "in the mood"...Is there something seriously wrong with our relationship..like a loose of attraction I am not realizing or could it be just my depression and anxiety making it happen. I am worried b/c when I go days and weeks not anting to be sexually active.. I get distant with my fiance and his anxiety n depression starts kicking in and he starts thinking he did something wrong, I am going to leae him, or that I am not attracted to him anymore.. Plzz help ?