Stay away from him, would be my advice. I'm getting big warning bells there, love. Best move on... something not right about that one. General rule of thumb: if you don't wanna do something with a man/woman, DON'T do it. You're not obliged to get down and dirty with him because he's depressed, if that were the case, I'd be swimming on women! Lol. Look after yourself.

PS
Unless you're "friends with benefits" (which I actually think, based on what you've told us, is a potentially very bad idea) I'd say stop getting naked with him, unless we just got that out of context, but I don't see how. 'o.O It all sounds rather disconcerting.