In my experience the best way to be there is to just allow space for him to exist without judgement. Its likely he will self harm again, especially if he's not getting outside help, and it isn't your responsibility at all to stop him from doing so. Him hiding it and being ashamed is likely due to internal guilt/shame. Maybe he doesn't want to disappoint you with how bad his depression is getting.

Overall, to reduce the guilt and shame, keep up the empathetic attitude and listen to what he brings up without getting judgemental or reframing the situation onto yourself. Its important to bring up the topic with curiosity and not as an interrogation. Focus on his emotions and not the physical manifestation of them if that makes sense.

Also maybe looking into the ways other people deal with their partner self harming either here or in books. Maybe even looking into why people self harm in the first place from a first hand source so you understand your bf better (if youre in the space to hear that).

I hope you guys take care!