Thank you for the replies to the questions and the added information. It helps a lot in understanding what the situation is. I believe I can now be of help with this issue.
I can imagine how confusing and distressing this situation must be for you. You are clearly a good man and have good values. You are also a man and recognize the temptations of this world exist. And now you know the temptations are actually very tempting.
I want you to recognize that feeling guilt is a good thing. You are treating guilt as something bad and overpowering. But it is not; it is something that we are granted (if you are a religious man like your fiance, then by G-d) to help us recognize what our values really are and how to return to them.
Remember: the purpose of temptation is to be tempting. Sexual temptation is one of the strongest in the world (with food, money, etc.). And human sexuality is almost all in our fantasy, in our brains. That's why if we are sad, anxious, etc. we have no sexual desire: because our brain's pleasure center is completely on shut-off status when these emotions override it.
Therefore, it's most important that you not turn this into an issue between the two of you. There is no reason for her to know what occurred if she will not find out from others. You were tempted by these pleasures of the world and you tried them.
You have come out from them now feeling guilt. That means that you recognize now what your values really are even more than you did before. So, remember:
To let the guilt turn into shame and depression is to lose the real spiritual purpose of the guilt: if you let it become shame and depression, you will only be tempted even more to repeat this type of behavior because you will keep telling yourself you are unworthy, you're not really a good person, you're a fake, etc.
But if you use guilt the way it was intended, to clarify your values, then you can commit even more strongly to your values and your fiance. You can say that you really, really do believe in these values and in your loyalty to her. This is the truly religious way to treat guilt. The other way is to turn it into shame and depression, and that's not healthy.
Okay, I wish you the very best!
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