I'm in a mess.

Okay. So, once again, I'm in trouble. This time, it's a guy who's essentially obsessed with me. He claims to love me constantly, though we've only been a thing for a week. He always talks about wanting to marry me, and who our children will look like more. The issue? This was supposed to be more of a casual thing for me. I've already tried to break up with him twice, and everytime he persuades me back. He really doesn't fit into my life plans either. He insists that we will get married when I'm 20 years old (he's a little older) and that he wants me to come to where he is (different country, again.)

I don't love him. He's even annoyed me to the point where I don't like him. But it's so hard for me to leave him, because our connection as friends was so great. He seems genuinely heartbroken whenever I say I want to leave him, and it breaks me too a little. It's possible for me to just cut him off entirely, by deleting the apps on which I talk to him on and block him, but I'm afraid that he'll do something drastic.

Another issue is, because he's older, he often pressures me to do sexual things with him (I.e. Phone sex, taking off my bra on video). I can't bring myself to do any of these things.

Do I wait and see, or do I just come clean and tell him that I don't feel the same?

Please, help me out of this. I'm so desperate. I know I should leave him, but my self esteem is so low, that I feel like he's the only person who could ever love me like that.

(Note: I tried to leave him again a few hours ago. He said he was extremely depressed, and loved me so much, and of course, I caved.)

This sounds so relatable to me! I've been in relationships in the past where I just felt like I couldn't love someone as much as they love me. I know it's difficult to break up, but if you don't love him anymore, that will be the best for both of you! By being with you, you're limiting him from finding the perfect girl for him, and if you are unhappy, you should definitely not continue the relationship.
As for the depression part, that is difficult, but you shouldn't be with him, just because you're scared of him doing something otherwise. You don't want to be in a relationship because of fear! You might urge him to get professional help with his depression, or at least to talk to someone else about it who can help him. If you are finally feeling confident enough to break up, try to be friendly and say it's has nothing to do with him, that you both want different things and that you can't go on like this. Do not offer to be friends though, at least not for the time being! For him to 'heal' from the break up, it's probably better to stop all contact, because it only adds to the pain and it makes it more difficult for him to emotionally distance himself from you.
Of course I know this is something very difficult, and that things aren't the same for everybody, but I really hope my advice will be at least a little useful to you. I hope that you'll be strong enough to choose for yourself for a while! Remember that it's not bad to be single, it doesn't make you a lesser person. Good luck with everything :)