The Blue singer, who is in the final of the BBC One competition, said it began after a short tour of Kazakhstan ended in July.
"I was a bit gutted at first because the music went quiet," he told Newsbeat.
"I didn't have an outlet so I was sitting at home and got myself into a bit of depression."
He said he realised the fans could tell he wasn't feeling himself and thought that he needed to tell them.
"Hopefully I've done that and now I am just so grateful for this Strictly team," he said.
"Even though I have been in a dance-off, they picked me up just before I went out there and danced.
"I remember it being an absolute saviour and I can't thank them enough."
In an interview with the Daily Mirror earlier this year, he revealed how he had turned to alcohol after Blue's reunion tour finished.
He also admitted property losses had led him to bankruptcy and he even thought about suicide.
The Strictly finalist said it was then that he realised he was suffering from severe depression.
But since appearing on the show, he says he feels things are looking more positive and he is looking towards the year ahead.
"Career-wise we've got two albums with Blue next year, we're signed to Sony," he explained.
"We've got our own TV show as well which is going to be launched in January, so things are looking very, very good for Blue next year."
He will also go on tour with this year's Strictly Come Dancing contestants and could potentially win on Saturday night with dance partner Kristina Rihanoff.
"What a great way to end the year, it didn't start off too well but I feel I ended on a high no matter what."
Strictly Come Dancing final is on BBC One at 18:30 on Saturday.
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Simon Webbe has credited Strictly Come Dancing with helping him with his depression.