Wow. We really are in similar boats. My H is also not from here (he's a Brit) and we too spent a tearful goodbye at the airport very early in our relationship. As soon as he got home he announced to his parents that he wasn't going to get his PhD and came back to the US to be with me a month later.
All the struggle we went through to be together in the beginning makes me feel now that we've worked too hard and our R is just too damn romantic to throw away. I'm sure you feel the same way.
As for the sadness on your H's part, I think depression often throws a M into turmoil. The only thing I can say is my H certainly seems more interested in me the more I find other interests, like my taking an art class. Of course it is so hard to get out of the rut of missing your H. Believe me, I hit bottom hard before I was able to move forward. I've found the best thing for a broken heart is to make yourself very busy with other things.