Esme, will you be renting the room to a new tenant? if so, tell him that when they pay their deposit, you will give it to him. As its not a 'formal' lease situation, this is the usual situation in renting rooms from my experience. I have rented rooms in several countries in my time - usually when you move out, you give ample notice. this gives your housemates time to find a replacement, and once the replacement pas their deposit, you get yours back. Its not exactly proper, but its the way its usually done. If he had given you notice and you dont pay his deposit, then fine, its you in the wrong. but since he gave you no notice, and has since moved in with family, I'd tell him he'll just have to wait for it, or as said give it in installments.
you were accommodating and flexible when you allowed him to change to weekly payments, you have been a good LL, so he needs to now be flexible with you. As already said, have you worked out all bills etc? can you off set anything he owes you against the deposit?
Next time, although its a diff situation to a 'lease' i'd still look into getting soemthing in writing re: notice period, deposit refund etc. That way there is less chance of someone uping and leaving unexpectedly again!