Sexual activity outside of marriage is always wrong for a Christian. The Bible teaches us to make a marital commitment to one person and to enjoy the God-given sexual relationship with that individual (1 Cor. 7:1-40).
Even if this man was single, and was having sexual activity with this other woman, he would be in a state of sin. The fact that this man's wife is not a Christian gives him no right to leave her. The Bible teaches that if you are married to a non-Christian, and they are pleased to dwell with you, then you should stay with that spouse.
Notice how God's Word emphatically addresses this issue in 1 Corinthians 7:12-16:
But to the rest I, not the Lord, say: If any brother has a wife who does not believe (non-Christian), and she is willing to live with him, let him not divorce her. And a woman who has a husband who does not believe, if he is willing to live with her, let her not divorce him.
For the unbelieving husband is sanctified by the wife, and the unbelieving wife is sanctified by the husband; otherwise your children would be unclean, but now they are holy. But if the unbeliever departs, let him depart; a brother or a sister is not under bondage in such cases.
But God has called us to peace. For how do you know, O wife, whether you will save your husband? Or how do you know, O husband, whether you will save your wife?
(1 Cor. 7:12-16 NIV)
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