The Hollywood stars announced in October (10) that they were taking a break after 11 years of marriage to work on their personal problems.
Arquette subsequently went public with his troubles on the radio airwaves, telling his pal Howard Stern the former Friends star had tired of his immaturity.
He also confirmed rumours he had slept with aspiring actress Jasmine Waltz after the separation, and confessed live on air he hadn't been intimate with Cox in "like four months".
The Scream actor opened up about his emotions on air again on Wednesday (15Dec10), admitting the love split has left him a wreck.
When asked by Stern if he's "having a nervous breakdown", he replied, "I believe so."
Arquette also revealed he's turned to a psychiatrist to discuss his issues in weekly sessions, adding, "Everybody is worried and concerned about me."
And he's been drowning his sorrows with alcohol, confessing he made a fool out of himself at Adam Sandler's recent holiday party.
He said, "I was a little wasted. Someone says 'Hi David!', and I said, 'Hi Sean! Then I realised it was Tom Cruise. And his beautiful wife (Katie Holmes) was there. Tom was cool about it... I was so embarrassed. I was like 'I gotta get the f**k out of here.'"
But the cringe-worthy incident has made Arquette vow to turn his life around and stop drinking so he can win back the mother of his little girl, Coco: "I've been drinking a lot because I'm heartbroken. It's really a personal, traumatic thing. When I drink, I become a maniac. When you wake up and reality hits you, it's hard.
"(Cox) didn't want to be my mother. But I kind of need a mother... I want love in my life. I need love in my life."