Three months is early for both of you in his sobriety. Hopefully in time he will feel secure enough in his recovery to not exclude real friends from his life. In the meantime there isn't any reason why you cannot continue these friendships. Real friends will understand.
It is depressing maybe to watch him go through his stuff right now but this too shall pass. I always try to remember the 'greater cause' when things get uncomfortable or depressing with recovery. Recovery means things get better but it is a process.
Or maybe the depression is in holding so much for so long about the alcoholism. Kind of a release of feelings that are difficult. Even the best of friends may not understand this so have you considered therapy through this time?