Bless your heart. I have to agree that staying with him is probably adding to your depression. His lack of really caring and the fact he doesn't support you either fiinancially or emotionally doesn't help at ALL. I feel he's a cold man who hasn't gotten over his previous divorce and he never will without counseling. I don't know if you want to approach him on the subject of counseling and I highly doubt he'd agree to it from the things you've said. But you can try. However, I think you've made up your mind that you'd be better off without him at this point.
Why are you so hesitant to leave? Is it that you think you will have made the wrong choice? You're miserable NOW -- do you think you could be MORE miserable with your sister? I doubt it.

But it's possible, I'm sure. Either way, counseling is available wherever you end up. And counseling is what you need, my dear friend. Depression is something not to be taking lightly. I've suffered from depression since I was a child, and have gone thru therapy several times and I've never regretted it. I'm sure it will do you a lot of good!
So whatever you decide, please have a doctor refer you to a good therapist and find what issues are causing you such problems. I wish you the very best! PLEASE let us know what you decide and how you're doing, okay? We DO care. God bless and please take care. Hugs, Lee