The depressed young adult

Looking for advice from anyone who has gone through this...
My son, 19, a sensitive person, struggles with depression and anxiety, has ups and down, and is in therapy, but not on any meds. He's currently in a very down place, he says (quite earnestly) he just wants to die so he doesn't have to feel the pain anymore. I'm thankful that he's open with me about it, but I don't really know how to help him. His therapist recommends journaling and getting exercise. He got himself up and went to class today, which is huge progress, but he's just miserable. What can I do?

Edit- thanks everyone. he has agreed to trying medication so that’s really good. here’s to getting through another day.