We're not meant to be alone.

I think if he wasn't immortal and still lost his family, he probably would have drank himself to death. But that option isn't available to him, and that's a big part of why he's so desperate. Depression says "you are going to feel this bad forever," but "forever" to him means literally forever. No wonder he wants to die so badly.

Also, there isn't any support available to him in the way that there would be if he was mortal. Normal parents who lose children can find therapists and go to support groups, but he obviously can't. The only support he has is the other three, and while I'm sure they're sympathetic, they all went through the grieving process for their mortal lives hundreds of years ago. (And he's right, Joe and Nicky have each other - Booker has Andy to commiserate with, but I got the impression that they tend to encourage each other's tendency to wallow.) Being seriously depressed, having a drinking problem, and being cut off from the help he needs - bad decisions were almost inevitable. It's just unfortunate that the bad decision he went with resulted in him losing the only support system he had left.