He might feel constrained if you’re with him at the doctor’s - maybe that he won’t be able to say things about his state of mind in front of you. However, as a compromise, maybe you can ask if you could go in for a couple of minutes to tell the doctor about the changes in your relationship and how it’s affecting you. Then leave the room so he can talk in private.
As for the paint balling, maybe it’d do you both good to have some space - maybe you should consider not going?