Do you think that I should tell my parents something my brother told me in confidence?
Why do you think that you need to betray him like that?
I'm going to let him know how much it hurt me
It sounds like you might be seeking revenge on him. You should not betray his trust though, it may stop him from telling you things in confidence in the future.
I'm also concerned about him. I just want to make sure he's okay.
If you want to make sure that he is okay, then you should speak with him in private and not involve your parents. It would be a lot nicer of you to keep his trust while also attempting to make sure that everything is okay.