I know it doesn't feel like it now, but it is much better than if you had gotten married, had kids, and then she left you. You said yourself you knew your relationship was headed that way. A good relationship will build both people up. The one you were in obviously wasn't good for you. Eventually you will meet someone with whom you share interests and long-term goals. It is worth it to get your heart broken a few times now to find that perfect match. Believe me, being the only one who is fighting to keep a relationship alive and never knowing if tomorrow may be the day you come home to an empty house will drain your soul.
I wouldn't hesitate to see a therapist in your condition. You shouldn't have to worry about losing your firearms unless you are having violent fantasies about killing people (in which case you are probably better off without them anyway). Getting help and being around later to enjoy life is more important than keeping your guns if you think you either can't get out of your depression or are contemplating suicide.
You describe yourself as out of shape. Do what you can to get fit. At least get an elliptical machine and do 30 minutes a day on it. That and some changes to your diet can do wonders as long as you realize it is a long-term process that will likely take a year to accomplish.
Accounting doesn't necessarily have to be stressful. Public accounting is tough if you don't like travel and long hours, but there are other options. I did three years in public accounting and then went to work for a local government. The pay wasn't great but the hours were regular and as long as our auditors gave us good reports my governing board was happy.
The bottom line is you're still young and have many options ahead of you. There is someone perfect for you out there, just try and enjoy you time trying to find her.