(CNN) Far from the familiar waters of an Olympic pool, swimmer Michael Phelps shared the story of his personal encounter with depression at a mental health conference in Chicago this week.

"You do contemplate suicide," the winner of 28 Olympic medals told a hushed audience at the fourth annual conference of the Kennedy Forum , a behavioral health advocacy group.

Interviewed at the conference by political strategist David Axelrod (who is a senior political commentator for CNN), Phelps' 20-minute discussion highlighted his battle against anxiety, depression. and suicidal thoughts -- and some questions about his athletic prowess.

The 'easy' part

Asked what it takes to become a champion, Phelps, 32, immediately replied, "I think that part is pretty easy -- it's hard work, dedication, not giving up."

Pressed for more details, the Baltimore native described the moment his coach told his parents he could become an Olympian and he recalled the taste of defeat when losing a race by "less than half a second" at his first Olympics in Sydney in 2000, which meant returning home without a medal.

"I wanted to come home with hardware," said Phelps, acknowledging this feeling helped him break his first world record at age 15 and later win his first gold medal at the Athens Olympic Games in 2004.

"I was always hungry, hungry, and I wanted more," said Phelps. "I wanted to push myself really to see what my max was."

Intensity has a price.

"Really, after every Olympics I think I fell into a major state of depression," said Phelps when asked to pinpoint when his trouble began. He noticed a pattern of emotion "that just wasn't right" at "a certain time during every year," around the beginning of October or November, he said. "I would say '04 was probably the first depression spell I went through."

That was the same year that Phelps was charged with driving under the influence, Axelrod reminded the spellbound audience.

And there was a photo taken in fall 2008 -- just weeks after he'd won a record eight gold medals at the Beijing Olympics -- that showed Phelps smoking from a bong. He later apologized and called his behavior "regrettable."

Drugs were a way of running from "whatever it was I wanted to run from," he said. "It would be just me self-medicating myself, basically daily, to try to fix whatever it was that I was trying to run from."

Phelps punctuated his wins at the Olympic games in 2004, 2008 and 2012 with self-described "explosions."

If you suspect someone may be at risk: 1. Do not leave the person alone. 2. Remove any ﬁrearms, alcohol, drugs or sharp objects that could be used in a suicide attempt. 3. Call the U.S. National Suicide Prevention Lifeline at 1-800-273-TALK (8255). 4. Take the person to an emergency room or seek help from a medical or mental health professional. Source: American Foundation for Suicide Prevention. For more tips and warning signs, click here.

The "hardest fall" was after the 2012 Olympics, said Phelps. "I didn't want to be in the sport anymore ... I didn't want to be alive anymore."

What that "all-time low" looked like was Phelps sitting alone for "three to five days" in his bedroom, not eating, barely sleeping and "just not wanting to be alive," he said.

Finally, Phelps knew he needed help.

'I wasn't ready'

"I remember going to treatment my very first day, I was shaking, shaking because I was nervous about the change that was coming up," Phelps told Axelrod. "I needed to figure out what was going on."

His first morning in treatment, a nurse woke him at 6 a.m. and said, "Look at the wall and tell me what you feel."

On the wall hung eight basic emotions, he recalled.

"How do you think I feel right now, I'm pretty ticked off, I'm not happy, I'm not a morning person," he angrily told the nurse, laughing now at the memory.

Once he began to talk about his feelings, "life became easy." Phelps told Axelrod, "I said to myself so many times, 'Why didn't I do this 10 years ago?' But, I wasn't ready."

"I was very good at compartmentalizing things and stuffing things away that I didn't want to talk about, I didn't want to deal with, I didn't want to bring up -- I just never ever wanted to see those things," said Phelps.

Today he understands that "it's OK to not be OK" and that mental illness "has a stigma around it and that's something we still deal with every day," said Phelps. "I think people actually finally understand it is real. People are talking about it and I think this is the only way that it can change."

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"That's the reason why suicide rates are going up -- people are afraid to talk and open up," said Phelps.

Today, by sharing his experience he has the chance to reach people and save lives -- "and that's way more powerful," he said.

"Those moments and those feelings and those emotions for me are light years better than winning the Olympic gold medal," said Phelps.

"I am extremely thankful that I did not take my life."