Wow quite a problem there. I would lean towards treating him for depression then dealing with the cross dressing. If he's been mentally abused by a women its very possible that the cross dressing is part of the leftovers from that relationship. He should seek help to diagnose and treat any sort of mental problem cause by the abuse. He needs to handle the abuse first.
It is possible for a man to enjoy dressing in women's clothing and not want to be a woman and act as they do. He shouldn't be ashamed and if you are ok with it you should let him know. The depression likely stems from being in an abusive relationship for so long and I would agree with Ookami that he should see someone to process through what happened. Abuse is just as difficult on men as it is on women.
There are lots of men that like to cross dress that do not want to be a woman and are not gay. I have heard several men say that they like the way womens clothes feel against their skin and men close just don't feel good. Whether it is a fetish or not I guess depends on who you are talking to. I don't really think it is due to depression, I think it is just a matter of what you like and what you don't like.
Depression and cross dressing are two different issues. However, in his case they may be linked. Cross dressing may in fact HELP him deal with his depression or, he may be depressed BECAUSE of his cross dressing. That is...he's depressed because he can not stop himself. In my case, my fetish....wearing panties....helps me relax. I lead a hectic stressful "in charge" life where it is important to be in control, always right and an over all "*****". Wearing panties under my business suit helps keep me better grounded and aware of my feminine side. When at home I can shed my "Manly Man" persona and at last RELAX. Tell him to feel OK about himself and his fetish and enjoy it WITH him. Soon the depression may be a thing of the past.