Anthems,
I am sorry you are here, and that things have reached a bit of a crisis in the relationship. There may be a lot more information that you could give about an eleven year relationship, but people can only go by what appears in this thread.
The biggest issue I can see is that your wife has to take ownership of, and responsibility for, her life, because she is the only person who can change things for herself. You cannot fix her, but in your position it can be very easy to believe you are being supportive, when you actually be enabling her to avoid addressing the cause of her problems, whether by joining her in drinking to excess, or embarking on dream trips that are a form of escape from reality. That is not blaming you at all; I am hoping to offer a different perspective for you to consider, even if you ultimately reject it.
The most significant theme I see is your fiance's avoidance of taking control the direction of her life, and therefore her own happiness.
For example:
My partner has been severely depressed for the last 5 years, unsatisfied with her career path and a lot of her surrounding life decisions.
Depression is a very real condition, for which treatment is available, but that has to be sought out. Careers can be changed, and decisions can be reversed, if effort is made to do that. I am not saying this in any kind of accusatory or blaming way, but it sounds like instead of attempting those changes, your wife has been passive, and in some ways become a helpless victim of herself.
We sought out couples counselling who encouraged us to chase our 'dream life' together to reignite our zest for life and our relationship. My partner always had dreams of moving overseas for a period...To cut it short, four months into this venture her depression only deepened.
This suggests strongly that whatever is causing your wife's depression cannot be alleviated by dream trips, dream homes, etc.
Another thing I noticed is the impact of the engagement on the relationship (and particularly your fiance).
we...have been engaged for the last 2 years.
over the last 2 years I have become fatigued with trying to support her. During this period she has heavily relied on alcohol to escape her problems. I think we were definitely in a bit of a rut with our relationship during this time.
She tells me [her infidelity] has nothing to do with her love for me, or wanting to end our relationship. She said she is just so depressed that she wanted to escape herself for a moment, relive past time of being young, single and carefree.
These things struck a cord with me, because a good friend of mine was with a woman for several years, in what appeared to be relative happiness, before they married. The marriage lasted six months. It seemed like the dynamic between them worked on a less committed 'boyfriend-girlfriend' level (which sounds juvenile, as they were in their late forties when they married), but struggled as husband and wife.
I hope this does not sound cruel, but do you think your wife is struggling with the change in the dynamic of your relationship from drifting along together with no commitment, taking life as it comes, to being engaged, with a view to getting married?
Given the point that has been reached, after 11 years of being together, I think the most important thing that both of you should do is honestly and frankly consider your expectations of each other, how you envisage the future of the relationship, and then compare notes to see whether or not they match.
Hopefully they will match, but if there is a divergence in your ambitions, and you find you want different things for your future, the two of you will have to see if a workable compromise can be reached. Nobody can predict that, but both of you should be 100% honest with yourselves about what you want, to ensure that neither of you ends up in a situation in which you will be unhappy.
It could be that your fiance is not comfortable with commitment, whether to a career, or a relationship. That is likely to be a product of her feelings about herself, and I hope she will finally face them and explore them, rather than seeking the escape of alcohol, avoidance, and reckless misadventures with random strangers. She needs to be honest with both of you about what she was trying to achieve by her return to the bar and then confessing her actions to you, because elements of it could be interpreted as as an attempt to sabotage the engagement and shift the making of significant decisions onto your shoulders.
I am sorry to say a lot of those things, and I hope I am wrong. Trust me, the vast majority of people here know how they felt when a missile unexpectedly descended on what they thought was their perfect corner of the world. They do not want to kick anyone when they are down. We have been where you are, and our thoughts are very much with you.