Help can come in many forms
Well, whatever happened to good old fashioned boundaries?
Like, maybe it's NOT okay for her to bring their relationship inside your house (ie wearing a collar). Ummm, Hello? This is your relationship with your wife too! Sounds to me like this ass is getting off on intruding on your life and relationship with your wife! It's okay to say no way are we bringing that into our house together. I would NEVER stand for that, that is an intrusion into what you value with your wife, your relationship. You may not be able to convince her not to do these things, but you can continually tell her that you are NOT comfortable with it and that you don't want anything to do with it inside your house and inside the space your wife and you have built up over years spent together. That's not his space, and I think asking your wife to keep their kinky sex outside of your shared space is a completely appropriate boundary.
Secondly, this depression sounds like it's really affecting your wife. Beyond counseling she may wish to go to her doctor and explain she has been experiencing withdrawal from all her friends, in addition to whatever life stresses you are going through and see if she can get on some medications.
I'd share your concerns with your wife and ask her to discuss with you what she's looking for in a poly relationship. Maybe she needs some reassurance that. You're willing to work towards this in a consensual manner, where you both discuss your needs and visions foe the future.
I'm so sorry you're going through this. It sounds horrible.