What I am struggling with is the feeling of guilt, anxiety and sickness because of what I'm doing. His business is failing as well and now I have decided to leave I feel terrible.
Big fat hugs to you. That is, I believe, a normal reaction. I struggled with it for a long time after leaving, until my counselor said, "Not only do you have a RIGHT to do what you did, you have a RESPONSIBILITY to take your children out of a pathological situation."
You're not
leaving him, you're
saving your children and yourself.