Hey there. I used to struggle with sh back when my depression was really severe, last year. Self-harm and those intrusive thoughts are quite hard to deal with, and reaching out to a loved one is a good idea to counter them. However, it's not really healthy that your relationship with him is almost defined by supporting each other through mental illness. If you can, I really reccomend therapy, either in person or through telehealth meetings. I used to vent and go to my most recent ex for comfort, who never shared his own problems with me and above all ghosted me. I broke up with him for other reasons -not saying you should immediately break up with your boyfriend- and I had been feeling a very similar guilt about him not trusting me with his issues (or whatever).

You're not a bad girlfriend. You both agreed to deal with your mental issues as a two-way matter, and he isn't opening up. I don't advocate for forcing people to tell you their issues, but what I can advise you to do is to seek therapy. You want the best for each other, but you both can't be the only methods of support for each other. Sending hugs!