I'm glad you had a good talk. I think that's where it needs to start. Even the mention of using the gun on himself is a huge red flag that his issues run deep and I'm glad he's seeing someone. At this point, I think he should be having individual sessions where he can talk through how he's feeling.
There's a good chance he isn't happy with himself and your BR has little to do with this. If anything, it may just be another area he feels he has no control over. I would let the counseling play out for a while. He is likely to learn things about himself and hopefully better ways to cope with how he's been feeling.
If he has been feeling depressed, the lack of support you've been feeling is likely related. When you said you felt he was hanging on only because he wanted to be taken care of, boy can I relate to that one with my ex. If you can be patient with his counseling, hopefully at some point you can go jointly and this is something that I think he needs to hear.
I would get frustrated with everything I had to do with working full-time, having three small children and taking care of them, the house, the finances & translated that into he must not care much about me at all but he likes the security of me taking care of everything...I tried asking him to help with this or that and either got a 1/2 a$$ed attempt that was temporary or 'don't be such a martyr' comments...but I never really told him how he was making me feel...unloved, unappreciated, walked all over, tired and done...
I don't know that it would have made any difference, but being older (and hopefully wiser

) that would have been a better approach. I think he took my asking for help as the typical nagging wife, nothing to take seriously.