Hello there!!
Sorry you're going through this, I'm sure it's sp upsetting.
I wouldn't worry so much about this affair coming to fruition, not unless one of them decides to relocate to another country, which is doubtable. I personally would be more worried about him straying in other ways. God forbid he finds someone locally that he tries to connect with, THEN that may really be a bigger, more realistic threat to the marriage.
I agree with you that it sounds like he may be dealing with depression. Unfortunately, you cannot force him to want to seek help, he has to want to do that for himself.
As for your leaving, tread very carefully there. If you're planning on leaving, counting on him being scared, and wanting to work harder to fix things, you have to be prepared for that backfiring. Often times, a partner will leave, kind of as a scare tactic, to make their loved one "come to their senses", when in fact the exact opposite ends up happening. The partner may isolate and alienate themselves even more, with less motivation to work on themselves and the relationship. A trial separation, to have you both work on yourselves (which I agree is VERY important) is one thing...but don't make the decision to leave solely as a way to strong-arm him into making changes because he's afraid of losing you. That's not a good reason for a seperation IMO.
Have you tried an honest talk with him? Not a fight, not finger pointing oer guilt trips, but an honest to goodness, heart to heart? I would recommend that first, before you take any drastic measures. I would tell him plain and simple that you are worried about him, and think he is displaying symptoms of either being depressed, or being unhappy in the relationship.
Tell him that you're committed to making it work, and that the marriage means a lot to you....but you both need to seek help for that to happen. Reassure him that you are going to work on YOURSELF too. Relationships take two to work, and they take two to fail. While he had no business seeking out a woman to have an emotional affair with, there are certainly aspects you need to work on as well, as you seem to be readily willing to admit and face, which is great. Ask him straight out if he WANTS to fix the marriage (sometimes a person really doesn't, but they just don't have the courage to say so, and as painful as that would be to hear...it's better if you know where you stand)? I would also tell him that in order for your marriage to have a chance, he needs to cut ALL ties with this woman. A person cannot work on a relationship with the distraction of another one. Just can't happen. If he is unwilling to do that, then you have some tough choices to make.
Definitely stick with the professional help for yourself. You do need to work on your own issues, and you need to sort through the fall out of this affair. It's something that cuts to the core. You have a lot of emotions to work through, and therapy will help you do that.
I would recommend you also posting this question on our "Relationships" community also:
http://www.medhelp.org/forums/Relationships/show/78?controller=forums&action=show&id=78&camp=msc
There are some amazing people who post on that forum, with super insight and advice. If you do, you can indicate that you've posted the question here, too, so that they can look at this thread as a reference. You can even copy/paste a link to this thread in your thread there, for easy reference.
Very best to you hon...I'm so sorry you're going through this. While its so hard, TRY to make decisions based on facts and reason versus emotion. Emotional knee jerk reactions can often make a bad situation even worse. As hard as it is, try to really think this through, and make reasonable decisions. Think with your HEAD not your heart. Please let us know how it's going okay? I sincerely hope you guys are able to repair your marriage, and get through this.