Rapper Professor Green, cricketer Freddie Flintoff, comedian Ruby Wax and others say admitting their problems for the first time made them realise they were not alone.
But for many, asking for help can be much harder.
"We didn't really know what we were being sent to," Dan Farnworth, a paramedic in the north-west, says. "The next thing I knew, a child was just placed into my arms."
It was 2015, and Dan had just been sent to a 999 call that would change his life.
"When we arrived we knocked on the front door, but we couldn't get in. We didn't know what had happened inside," the 31-year-old told the Victoria Derbyshire programme.
It quickly became apparent the call involved the murder of a young child.
"All of a sudden this little girl was just placed in my arms," Dan, a father-of-four, says.
"I just remember looking at her. I remember thinking she looked like one of my own children. She had the same colour hair as one of my children.
"I just felt like I froze. It was scary. It is the worst thing I have ever seen in 12 years of doing this job."
That night, the horror of what Dan had witnessed began to dawn on him.
He finished his shift early and went home, but couldn't sleep. He soon realised something more serious was wrong.
"I started having nightmares and flashbacks," he says. "My mind started filling in the gaps, seeing things happen that I hadn't actually seen.
"It was awful. I had flashbacks during the day and I was becoming like a recluse and not talking to people at work."
In the days and weeks that followed, Dan says he became "a different person".
"I realised something was wrong but didn't know where to turn. It was like I was in a deep dark hole, I was scared and drinking and smoking more heavily."
Dan says he was struggling to deal with his mental health problems, but feared being honest with his employers might have seen him lose his job.
He had always wanted to work in the emergency services.
Starting in the ambulance control room answering 999 calls, he then spent time dispatching the air ambulance, before finally applying for a job as an emergency medical technician.
He had been on the road since 2010.
"I was actually scared that by opening up and talking about what was going on, someone would turn round and say 'this job isn't for you'."
Eventually Dan reached out to his friend and fellow paramedic Rich Morton.
Dan says he typed out a text message, telling Rich what had been going on. However, he deleted it before he could send it.
He re-wrote the message, but again deleted it.
He wrote the message for a third time, and this time pressed send.
Dan was so scared of what his friend would say that he hid his mobile phone under a pillow.
"He texted me straight back, saying 'put the kettle on, I'm coming over'," he says now.
"That text message was the first day of the rest of my life."
Dan was later diagnosed with post-traumatic stress disorder (PTSD). He was signed off work for five months.
He says he was offered "unbelievable" support from his GP and received counselling.
According to the charity Mind, he is not alone in working in the emergency services and suffering mental health problems.
The charity says nearly 90% of blue light staff have reported stress and poor mental health at work.
Emergency workers are twice as likely to identify problems at work as the main cause of those mental health problems as the general workforce, Mind says.
Dan and Rich have since started their own charity, called Our Blue Light, aimed at improving the mental health of blue light services workers.
And through their involvement with Mind, Dan and Rich have also rubbed shoulders with the Duke and Duchess of Cambridge and Prince Harry.
Last year, the three royals launched a new campaign called Heads Together, aimed at ending the stigma surrounding mental health.
On Wednesday, Heads Together released a series of films to encourage "a national conversation" about mental health.
Celebrities including cricketer Freddie Flintoff, comedian Ruby Wax and ex-Downing Street communications director Alastair Campbell have released films about their mental health struggles.
In a statement, the royals said: "We have seen time and time again that shattering stigma on mental health starts with simple conversations.
"When you realise that mental health problems affect your friends, neighbours, children and spouses, the walls of judgement and prejudice around these issues begin to fall."
The royals say attitudes towards mental health are now "at tipping point."
As for Dan, Prince Harry had a more specific challenge.
"He told me we should run the London Marathon," Dan says, "so we started running the very next day."
"Stigmas still exist and [mental health] is a taboo subject," Dan says.
"People think mental health is a big issue, but I'm Dan, I'm 31 years old with a job and a family and my life is normal. But I have a mental health problem."
Watch the Victoria Derbyshire programme on weekdays between 09:00 and 11:00 on BBC Two and the BBC News Channel.
A national campaign, led by the Duke and Duchess of Cambridge and Prince Harry, has released a film featuring celebrities talking about how they faced their own mental health problems.