I think you are correct in your interpretation of his meaning.
You have been through my happiness and sorrow.
What does "been through" mean here?
I read it my friend status(in Facebook) where he praises his long standing friendship with a person. I know "Through" can mean passing a test or emerging successful. However, I don't understand it in this context. I think he means "you have been with me during both my happiness and sorrow". However I am not sure.
(He is not a native speaker but he seems to have command over the language, so, that's why I posting this question)
I think you are correct in your interpretation of his meaning.
I'm not a teacher of English, but I have spoken it for (almost) all of my life....
"To go through" can mean "to experience" or even "to suffer".
I went through a traumatic divorce.
I have been through good times and bad times.
Remember - correct capitalisation, punctuation and spacing make posts much easier to read.