The one doesn't follow the other, his going back to the doctor and getting help for his depression does.

Do you know if he is getting help? If he does not want to be with you, it doesn't really matter why, there isn't anything you can do with someone else's wishes. You need to get on with your own life, maybe wait a bit to file for divorce if you want to see if his situation and outlook changes but I would put as much of my own energy into helping myself, after this shock, maybe seeing a therapist myself for awhile to help deal with the anger and grief and come up with a plan for your own life and protecting your health and finances.

I don't know how much you know about his life; his work situation and people, his ex-wife or other relatives, his doctors, etc. but with him effectively saying he does not want you, you are not in a position to be able to help him very much, if at all, even behind the scenes.