That was very hurtful and had no filter at all. Anyone would find that depressing, but what's the state of the relationship now? Was it all said in anger and he's gone, or are you together but smarting?
It's not so much that you have to do something about the words he said, it's about whether you truly feel this is the partner for you. I wouldn't want to stay with anyone who said that to me, and I'd think long and hard about any possibility of staying with him.
Of course you might have decided already that he's not for you, and it's splitting that's caused the depression.
If it's that, I'd say stay single and work through your depression.
If on the other hand you are going to stay, and forgive him, then you can't remain depressed, because to make it work, you have to put what he said behind you and move forward, forgiving him as you do so.