Thorpe, who won five Olympic gold medals in a stellar career, made the frank admissions in excerpts from his new autobiography, 'This is Me', which will be published next month.
"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 writes in the book, admitting that he saw his problems as a "character flaw" that he had to hide from his nearest and dearest.
Thorpe became a global star - nicknamed 'The Thorpedo' - at the 2000 Olympics in Sydney, when he won three golds and two silvers while still just 17 years old.
But soon after the Games he furtively sought help from a doctor as he sought to try and break a dependence on alcohol which always stopped short of becoming full-blown addiction.
"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 adds.
"It was the only way I could get to sleep. It didn't happen every night but 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."
Thorpe says that he successfully hid his problem drinking from the coaches and sports psychologists that he worked with during his career, despite the fact at times it got so bad he pondered suicide.
''I even considered specific places or a specific way to kill myself - but then always baulked, realising how ridiculous it was," he writes.
"Could I have killed myself? Looking back, I don't think so but there were days in my life that even now make me shudder.''
Despite those bad times, Thorpe denies that his problems with depression affected his career in the pool.
"I know the illness can't be blamed or used as an excuse for poor results. I was able to swim some of my best times through some of the worst periods,'' he says.
''And it also wasn't a reaction to the high life of red carpets and speeches, and neither can I blame the media intrusion - although it certainly hasn't helped and might explain my reticence to discuss my private life. It's a terribly dark place in which to hide.''
The swimmer has now begun the process of talking to his family about his dark days.
"Now I realise it's time to be open. I need to talk to them about it," he adds.
"I know how Mum will react. She'll cry and ask me why I didn't tell her and then she'll tell me how proud she is that I've finally talked about it.
"Dad is different. I'm not sure how he'll react. I know it'll take time for him to come to terms with it and how it fits in with his religious beliefs. I hope it does, because family means a lot to me."
Thorpe also uses the book to lay to rest long-standing media 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, I love children and aspire to have a family one day.
"I know what it's like to grow up and be told what your sexuality is, then realising that's it's not the full reality. I was accused of being gay before I knew who I was.''