Hello, ennazus. Welcome to A2K.
One of the statements in your post jumped out at me. You said,
He said he was married so I didn't want to hook up but we were both depressed alot and commiserated.
Your question is how to get over the pain of being dumped. As Bill and jes have said, you can tell yourself that his grieving process is his alone and he's going to make some choices that keep his wife alive for the time being. That decision may or may not work out for him, but you shouldn't pine away for him waiting for him to return to you.
You bonded with someone who was equally depressed. You shared a common bond - one of propping each other up when neither of you was emotionally healthy. His choice is telling you that the common bond he wants isn't one based on being depressed but one that's based on the positive memories of his life with his wife. I understand that choice. What I suggest for you is to tackle your depression with whatever means you can and look for a relationship based on what's right with the world rather than one focused on what's wrong.