How about, "I really love that you were thinking of me when you bought me this; you're so thoughtful! How about we treat ourselves to something we can
both enjoy tomorrow/this weekend/later tonight?" Then suggest a trip to the zoo, a walk in the park, a couples massage at a spa, a *cough* couples massage at home ifyaknowwhatImean

--whatever activity you both might enjoy. Exercise is good for easing depression, it'll help you with your weight/health goals, and it's often more fun if done together--total win/win.
Do you feel that if you told him about them, he would be unsympathetic or just not understand your binges? It might be very freeing to you and meaningful to him to open up to him about them, and it would certainly solve the food-gift issue.