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+1 to the advice above.
Only thing I'd add would be to do a simple tidy-up of your relationship with each of them ASAP. It will remove some possible future pitfalls.
Something like:
To him: "I am friends with the lady of whom you speak and it is better that you do not share such personal info with me."
To her: "I'll listen to you and give my opinion, but I will not be courier, and have asked him to refrain from sending me messages petaining to personal stuff".
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