Heather,
Sharing love is never a drain on us. Having unmet expectations is what drains us! Perhaps your feelings for him are more than his feelings for you, or you are more ready for a deeper intimacy then he is. Is that OK? Is he good as a friend, do you enjoy your moments of connection?
It seems to me that perhaps spending some time working on yourself will prepare you for a lasting relationship… either with him or with another. As you work with your counselor, things may look different! I was especially struck by how you said he is the first person to you want to call with your “problems and worries”. What about your joys? What about your successes? It is good and stable ground for a relationship if both people are whole and come to the connection self sufficient, but if you both need each other to feel OK, there could be problems later on. Said differently, we nurture the self first, then we can work on the relationship. With the anxieties and depression you mention, it might be good to pause on going further until you both work out some of the concerns. Otherwise the relationship may just add to the complexity already happening for you. Namaste, and good luck!
With warmth,
Matt