I have seen him really cry. He is beyond apologetic and determined to do whatever is needed to save our marriage.
So what's all that about then? He chose to involve you in his sexual fantasy and it didn't go the way he hoped. Now he's in tears and willing to do whatever to save your marriage... but he could have chosen to get therapy for his depression and explored his cross-dressing in confidence with the therapist, he could have thrown the clothes away without you finding out - wouldn't that have been doing "whatever was needed to save your marriage"? Or at least really trying "whatever is needed" before he gave way to his fantasy about cross dressing with you? Sounds like he's crying and apologising now because it stops you telling him what for.
See, he could have told you about his sexuality with presuming that you might ever share it. It sounds as if you don't feel entitled to what you already know about your own sexuality and he banked on that. Why would you hope to find images of cross-dressed men attractive? Surely if you did, you'd have some inkling before now? You're not the one who spent 20 years hiding your sexuality from him and it's bloody cheeky of him to presume that when he starts "exploring" your sexuality might change to suit him. What you say about counselling implies that you don't expect anyone to respect your sexuality equally with his.
I have looked at some independent options but we live in a 'trendy' place and I'm concerned that he may be encouraged to explore this side of him further while I'm told to be encouraging of our new 'gay' relationship.
If he wants to "explore" then a therapist can't stop him and a decent one wont try, though they should try to help him face up to the costs. And it's not so much encouraging your new "gay" relationship, it's more about accepting that may be the only kind of sexual relationship he can honestly have with you from now on, take it or leave it. (I'd leave it myself but whatever.)
Actually a few weeks wait before seeing a relationship counsellor is probably a good thing. You'll get more out of it after you've had a bit of time for your own feelings to settle. It might be worth thinking about separate counselling for yourself, so you can figure out what you want and need, separate from his needs or saving "the marriage". It sounds a bit as if you are trying to take back control by predicting his sexuality and therapising him. Sorry but that's a waste of effort. His path from here is his problem and you don't have to hold his hand while he figures it out, even if you stay in the marriage.
Anyway he's pissed about for 20 years or more, so you can take just as long as you like to decide what you want to do about it all. You're allowed to take your time and change your mind a few times along the way.