So, my friend Steve insists that he is fine but always seems angry/talks in an annoyed or frustrated tone and it makes me sad. He doesn’t seem to care about anything and he says he cares about me but he’s so dry, usually depressed, and doesn’t wanna talk about it, insisting he’s fine and doesn’t talk to me at ALL. It’s really draining but I feel like a bad person. I wanna be there for him but I just feel like I’m bothering Steve.

You can only help someone that is willing to change or accept help. It sounds like he might not be there. That doesn’t mean stop being a friend, but you need to make sure you’re not negatively affecting your mental health by putting too much into someone that isn’t ready. Be there but don’t jeopardize yourself.