E.B.
First off, it's wonderful that your son is so creative and disciplined. And it is even more wonderful that he can share his feelings with you. You have no idea how many kids could not have said that. And there are far too many parents who are grieving today, who wish their kids would have told them how depressed they were so that they could have gotten them some help in time.
I've written extensively about my daughter here. She's 25 and along with several other problems she suffers from depression and anxiety. A couple of years ago she attempted to end her life. So I feel qualified to comment to you.
Let's start at the beginning. Depression is not the same as being miserable about a relationship breakup, or about failing at school or getting fired from a job, or about life in general just going badly. That kind of misery can be helped with some lifestyle changes or by getting a new job, etc.
But depression in the way you're describing it is like, say, diabetes. It's not directly related to one's home situation, job/school, friends, finances, etc. It's a disease. It's medical. If your son developed diabetes you wouldn't blame yourself. You'd get him to a doctor. A person can suffer from depression even under the most ideal circumstances - there's plenty of money, they are physically attractive, they have the latest car/phone/computer, they have friends and a comfortable place to live, and a family. Yet, they're depressed and see no point in living. It's a disease.
An all natural therapist is one tool in the depression toolkit, but it's often not enough. Your son can follow a vegan lifestyle but still may need an actual medication. It doesn't have to be life-long. Your son should see a psychiatrist (who is a medical doctor and who can prescribe medications along with providing counseling), and soon. A psychiatrist will evaluate him and perhaps put him on a short course of meds, or maybe he needs something for a longer term.
You also might consider getting your son a physical checkup that includes complete blood work. Now, this is not an all-inclusive statement about being a vegan, but some people who are trying to follow a vegan or other restricted diet do not have the nutritional support that they need. Your son might be really low in Vitamin D3, or iron, or any one of a great number of essential nutrients. And deficiencies in some of these things can affect one's mental health.
I encourage you to not limit your search for help for your son to holistic, all-natural, non-medical resources. I firmly believe that holistic practitioners can be a really helpful resource, but sometimes it's best if they work alongside a traditional medical professional when someone is depressed, and has brought up the subject of the possibility of suicide.
Please don't blame yourself, and most importantly, don't reject all the resources that are available. Get your son to a medical doctor for a thorough checkup, and get him to a psychiatrist. And most importantly, don't delay.