Thorpe opened up about his depression in the book, This is Me: The Autobiography, written with Robert Wainwright, and set to be released next month.
In an extract published in Fairfax's Good Weekend magazine on Saturday, Thorpe said he had never spoken openly about it. "Not even my family is aware that I've spent a lot of my life battling what I can only describe as a crippling depression".
The 30-year-old said he had striven to be perfect and had wanted to keep what he felt was a "character flaw" from his family.
After the Sydney Olympics and while training for Athens, Thorpe decided to get answers and had a "clandestine visit" to a doctor, where he got "some help", including medication.
While he said he was not an alcoholic, he began succumbing to alcohol as time went on.
"I used alcohol as a means to rid my head of terrible thoughts, as a way of managing my moods - but I did it behind closed doors, where many depressed people choose to fight their demons before they realise they can't do it without help," he writes.
"There were numerous occasions, particularly between 2002 and 2004 as I trained to defend my Olympic titles in Athens, that I abused myself this way - always alone and in a mist of disgrace."
He said he was able to hide his drinking from sports psychologists and coaches, and at times considered suicide.
Other issues touched on in his book include media intrusion and speculation about his sexuality.
"For the record," he writes.
"I am not gay and all my sexual experiences have been straight. I am attracted to women."
"It's taken me a long time to accept that being depressed wasn't my fault and rising above it is actually a strength of character."
* Readers seeking support and information about suicide prevention can contact Lifeline on 13 11 14.