Need help on finding the most depressing anime I've ever seen
There's a good chance you're looking for Aoi Bungaku (lit. "Blue Literature"). It's a collection of 6 classic Japanese novels adapted as an anime by Madhouse in 2009. As the name suggests, the stories are mostly quite depressing, though there is some variation between them. 

Most of the events you mentioned occur in No Longer Human, the first novel adapted (episodes 1-4), by Dazai Osamu, who later committed suicide. It's about a man named Oba Yozo, who is incapable of interacting normally with other people and always puts on a facade. Over the course of the novel (and the anime), he lives several lives, moving from one position (and woman) to another fairly quickly, and is never content with his life. Just this story was recompiled into a movie release, though I guess from your description you probably saw the TV version.