Why do I become depressed and feel worthless, after I do anything sexual?

You need therapy. I recommend you see a good psychotherapist to help you unravel this complex issue that, left untreated, is likely to have profound negative effects on your romantic relationships. Perhaps a church or other non-profit organization can help if finances are an issue. I wish you the best.
Desires vs superego. When desires/behaviors (in any realm, not just sex) are at odds with values we've been taught (in a sense 'downloaded' from our parents), we experience what analysts call intra-psychic conflict. One way we often unconsciously resolve such conflict is through guilt. I would recommend psychotherapy. Often, it's not the desires or behavior that needs to change, but rather the self-punitive values.