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A man who stands there--when you have just caught him in the act--and denies that he did anything cannot be trusted. He brought another woman into your home or property...and says it's the first time? Then how did he get her there? Women don't walk up and ring the doorbell looking for sex.
I know that part of you wants to believe him, and have things go back to normal. Once the trust is broken, this is rarely possible. The marriage can be saved, but only if he's wiling to admit fault and work on what's gone wrong between the two of you that he would disrespect you so much as to bring the woman onto your property.
A man will SAY anything to get out of trouble. When you want to know if a man can be trusted, look at his ACTIONS--and his speak loud and clear.
He needs to be tested for sexually transmitted diseases...and you need to see the lab results, for your own safety. If you want to work on saving the marriage, you'll most likely need intensive marital therapy--but make sure the counselor knows that he stood there and lied to your face after having been caught in the act.
No, you're not nuts to want to try to save the marriage. It's possible, and sometimes going through a rough patch like this can actually bring a couple closer--because it's impossible to take each other for granted anymore, and the pain can bring an honesty to the interactions between the two of you. Remember to remind yourself that men really can separate sex from love--just because he acted out sexually doesn't necessarily mean he doesn't love and care about you. If he's not a habitual liar, he may just have lied when you caught him because he didn't know what else to say. If, however, he's not taking responsibility for his actions, it will take a lot more work to save your marriage.