He was speaking on Off The Ball's Football Show on Monday night
The issue of mental health and sport has been in the spotlight over the past week after Aaron Lennon was detained by police in England under the Mental Health Act.
The move came following an incident with the England international at the start of the month. He is now said to be getting treatment for a "stress-related illness".
The news has prompted a number of high profile names to come forward and share their experiences with depression.
Ryan Giggs revealed in his column for The Telegraph that he saw a psychiatrist to help him prepare for life after football. The former Wales international also said that playing at the top level with Manchester United was rarely enjoyable.
On this week's Off The Ball, former Ireland international Jason McAteer joined Joe Molloy and Kevin Kilbane in studio. McAteer shared his experiences with depression and highlighted the importance of good mental health.
"I can relate to Aaron Lennon when it comes to depression," he said. "It's a terrible thing.
"If you break your arm or break your leg, you walk around in a cast and people ask you about it. People want to know, they give you sympathy.
"You can be depressed and nobody could know. It can eat away at you.
"It's the lucky ones that come through it and get help. But we've seen some terrible outcomes. It happened to me and you don't realise. It creeps up on you and you start doing things out of character."
The former Liverpool midfielder talked about the sudden shock of finishing his football career and how anxiety caused his life to go "downhill".
"I had strong teammates around me. Even when I wasn't playing well, your teammates drag you through it.
"For me, it was coming toward the end of playing. I knew my days were numbered. I was in the gym a lot. I was always wondering what I was going to do after football.
"In my private life, I'd gone downhill. I'd split up with my partner who I'd had a child with. I wasn't waking up in the house and they were there.
"My career was in a downward spiral."
Jason McAteer lines out for the Republic of Ireland against Cameroon during the 2002 World Cup in Japan and South Korea. Image: Kirsty Wigglesworth/PA Archive/PA Images
In one instance, while driving to collect his son, Harry, he revealed he had thought about crashing his car to stop his anxiety.
"I started missing my son more and more. I was driving over to collect him and I was thinking that I had no job. There was no contract there.
"I remember being in the Mersey Tunnel and thinking 'if I swing the car across these lanes, that's it.' Then you start processing everything. Who's going to tell my son that there's been a accident and his Dad's passed away?
"I was processing stuff enough like that to not do it... I went to see my Mum. She opened the front door and I burst out crying. She knew I was struggling."
He went on to describe how his mother helped him by getting him to talk to a counsellor.
"We talked for about two-and-a-half hours and I poured everything out."
He added: "I always kind of said it's like being dropped in the middle of the woods and someone saying to you 'right, you have to get out'. You just cannot get out of this forest. It's just endless."
If you've been affected by the issues raised in this post, you can contact the Aware Support Line on 1800 80 48 48. The Samaritans can be called on 116 123. May is Green Ribbon Month in Ireland, as people are encouraged to talk about their mental health. To see more about it, visit greenribbon.ie