Four years ago I was at this point. I talked with a number of psychologists and therapists about this. One of them said: "Have you wondered if your anxiety is really because of your relationship". And so began the steps to disengage and end the relationship.
I don't regret it now. I could not and still cannot keep my empathy separate from the suffering of others. The alternative would have been to harden my emotions and become like a rock. My opinion is that depression does transfer and it is contagious. Just as laughter and joy is contagious. I choose my company wisely now and cannot bear to be around negativity anymore, it just catches and makes me numb to everything.
I choose being sad and ecstatic even while they alternate to extreme highs and lows. I refuse to heal anyone anymore.