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Yes he has always had a bit of anxiety when he's uncomfortable with the conversation or emotional things. No, not depression. Yes, I believe he is open to counseling.
I'm sorry you're going through feeling as though your husband may have sex addiction issues. Sex addiction is one of the more challenging addictions. It often involves the most secrets and lies of all the addictions out there.
However, from the behaviour you are describing, he does not sound to me as though he is a sex addict.
Fantasy is a normal healthy component of sexuality. Sometimes fantasies should stay in the head where they belong!!! I'm not sure it was appropriate for him to share the fantasies with you unless you enjoy his sharing.
Sexual addiction involves behaviour that results in negative consequences and your husband if addicted would not be able to stop the behaviour. So for example, if you got hurt by hearing about his fantasy world, and you asked him to stop and he could not stop, that would be an inability to stop the behaviour despite negative consequences. Does that make sense?
The fantasies alone would not be enough to determine a sexual addiction. Is there more behaviour to report? Does your husband look at pornography when he should be working, or does he have affairs, which would compromise the integrity of your marriage? Does he engage in inappropriate flirtatious behaviour with other women, phone conversations, emails, texts? Does he meet with prostitutes or other sex workers? Any of these behaviours might point with more severity to a sex addiction problem.
I hope this helps. Don't hesitate to contact me if you have more questions.