You seem to be going through some emotional turbulence, and you've connected with a new guy who is similarly experiencing such difficulties right now. It may be best to have a cooling off period in which you don't date anyone exclusively. Instead, just concentrate on getting emotionally healthy.
If your new male friend is depressed, please encourage him to seek counseling. It may be biochemical in nature. Depression is very treatable, and he doesn't have to feel like this. Your comment about you being the reason why he literally still wakes up prompts me to also mention that if he is thinking about harming himself, make sure you provide him with the following resources:
1) National Hopeline Network 1.800.SUICIDE (1.800.784.2433)
If you or someone you know are depressed and considering suicide, call the National Hopeline Network at 1.800.SUICIDE (1.800.784.2433). The call is free and confidential. Or chat live with a crisis volunteer at http://hopeline.com/.
2) National Suicide Prevention Lifeline 1.800.273.TALK (8255)
Call 1-800-273-TALK (8255) to talk with a skilled, trained counselor at a crisis center in your area. Available 24 hours a day, seven days a week.
Note that the National Suicide Prevention website lists additional, special hotline numbers for Spanish speakers, people with hearing impairments and veterans in crisis, and people facing distress related to natural disasters: https://suicidepreventionlifeline.org/talk-to-some...
3) Crisis Text Line Number 741741
If you're in crisis and prefer to text rather than call, then here's a confidential crisis text line staffed nationally by trained counselors in suicide prevention. Text "HOME" to 741741 from anywhere in the United States.
You can let your ex-boyfriend know that you were (and probably still are) dealing with difficult emotional issues, needed some space, and did not mean to hurt him. If he truly cares about you and values your relationship then he should be able to appreciate that sometimes life can be messy, complex, and overwhelming. Sometimes people need to work through a difficult emotional situation without the complications of a relationship to distract them, as relationships do take work. If he's sensitive to what you're telling him and wants to be a part of your life in some way, perhaps you can start to bring him in on what those emotional issues are and include him. Be honest with both yourself and him about whether you are ready to jump back into a dating relationship. Who says you have to date right away? Take things slow.
Above all, don't put yourself in a situation in which you feel like you have to hide from one guy that you're talking to another. Be honest with both of them immediately and let them deal with their own feelings and you deal with yours. Good luck on getting everything in your life straightened out. I wish you health and happiness.