Last night he told me he feels it is better to stay back home instead of going to school and feeling like crying there -- your words
I, too, feel anxiety is the issue with depression being co-morbid. I get the feeling from your posting that this "anxiety" is not new but increasing in intensity. One of the anxiety issues (generalized or GAD) tends to rear it ugly head at about eight years of age. The above statement could indicate the beginning of "school refusal" which is something you do not want to happen. I found an excellent article on this topic at "aboutourkids.org/articles/understanding_school_refusal" which should be of help. There should be lots of information on the issue "anxiety and school" or "anxiety disorders in children" or even "school refusal" or similar words/phrases. In addition, there are many books you can order on-line or purchase in bookstores or borrow from your public library dealing with anxiety and its problems.
Sometimes, though, parental "counselling" is not enough. If the anxiety issue is getting to be more severe, then you wll need to see your family doctor. If he/she is unable to help you, then ask for a referral to a medical mental health specialist with experience in anxiety disorders (as a child psychiatrist). Don't let this frighten you - anxiety in children is very common and also highly treatable. And seeing a doctor does not mean your child will be "medicated" (although for some children that is a good thing); often, the doctor give the parents ideas and plans to implement which help the child learn how to manage his/her fears. One more thing, if anxiety is the issue, your son will not outgrow this nor will it go away. I wish you the best ...
Has there been an event that has occured at school that has been unpleasant for him, maybe he's been reluctant to let you know. is there a teacher at the school he feels comfortable with he can see when he becomes anxious or upset, it may be worth letting someone at the school know that this is occuring, as it's important he feels he can approach someone. Being a teacher myself, an having had a past anxiety disorder i would want to know that i was able to be approached if there was a concern with a student.
Continue with your encouragement towards him, although some strategies that he could use to prevent the anxiety of being at school would be handy to boost his feelings of wellbeing. All the best :)