First, he meant to come to him with work related problems not personal. Second, society doesn't care about men's emotions. If you are depressed you have to deal with it yourself. No one will care and they will only think less of you for it if you talk about it. Seek professional help.

I agree with #1, seek professional help. Bosses are for work problems not life problems.

While you should tell someone, I agree with the rest, that the boss isn't the appropriate person to tell, since the boss can't fix it and most likely only cares about productiveness. Make sure the person you tell is there to help. Good luck!

Your boss is being a jerk for not distinguishing. In future, when people say 'come to me with anything', they mean 'come to me with anything (related to our relationship's context)'--your boss only wants to hear work stuff, your buddies want to hear drinking stuff, etc.. Good job reaching out for help, though! Next step: Call your doctor, make an appointment, and tell them all the stuff you've been telling your boss. They can help you get better. You're doing a great job manning up and asking for help; now it's time to ask the doctor. (And if the doctor laughs you off, get another doctor...)