The way you feel is absolutely valid, and you are not a bad friend for feeling such a way. Oftentimes, it can be very difficult to say the right things when your friends are going through a troubling time. There's no textbook answer and way for us to react when our friends are telling us their problems. From the sounds of it, it seems like he does this very often to you, which can make you feel very overwhelmed and burdened. Sometimes it can be too much too handle, which can get frustrating for us.
If they keep putting you in a situation that makes you feel uncomfortable, perhaps you could try vocalise it to them in a soft, gentle manner. I think it's important to emphasise that you're not annoyed them or their trauma, but that you find it difficult to navigate and help them through their problems. Gently ask for some space. You could suggest that they speak to a professional, someone who's trained at managing such situations, they would find that the insight from a professional would be much more helpful.
Hope this helps,
BCU Student Rep