The 46-year-old ended his glittering 20-year club career in 2014, which also included stints at Monaco, Juventus, Barcelona and New York Red Bulls.
He scored 228 goals for Arsenal during his two spells, winning two Premier League titles before moving to Camp Nou, where he won a pair of LaLiga crowns and the Champions League.
A World Cup winner with the Les Bleus, Henry has also managed Arsenal's youth teams, served as assistant coach of Belgium, and was the head coach of Monaco and Montreal Impact. He is currently the head coach of France Under-21s.
"Throughout my career, and since I was born, I must have been in depression," Henry told The Diary Of A CEO podcast.
"Did I know it? No. Did I do something about it? No. But I adapted to a certain way."
Henry said it had been a difficult time for him during the COVID-19 pandemic, when he was managing Major League Soccer side Montreal.
"I was in isolation in Montreal, and not being able to see my kids for a year was tough," he added.
"Tears were coming alone. Why I don't know, but maybe they were there for a very long time."
