depression bites. just remember that if your depressed, you wont always see things clearly. You might be misunderstanding him, and its obvious that he is misunderstanding you.
I'm sure you know that sex is a good thing. I believe God designed it to be one of the most wonderful parts of existence. But when two people have trouble connecting emotionally, physical connection is a pain.
It sounds again like you have trouble getting him to understand how you feel. Maybe pop into the relationships and communication forum here, i don't know if you already have done that but there are lots of ways to change the way you communicate that can make a big difference.
you can't change him. but you can change you. the way you talk to him, the way you show him how you feel, the way you listen to him, the way you show him that your listening. those things are vital to a healthy relationship.
Maybe try writing him a letter. Often its much easier to say exactly what you want when your writing it down, and it gives you a chance to edit. Plus, it gives him a chance to read what your feeling without all the emotions of a conflict.
I have a feeling that things are going to get better for you. Your here, looking for help. You love him, and i bet he loves you. Depression isn't permanant. And communication problems/affection problems in marriage are very common. Dont give up hope

God bless