But he hasn't always felt that way.
In 2014, the Olympian was arrested for driving under the influence for the second time and suspended by USA Swimming for six months. After this incident, he locked himself in his bedroom for four days.
"But going through my all-time low, you know, kind of seeing where I was and then seeing what I have now, I'm so thankful for my family and friends around me who were able to help me and were able to communicate with me," explained Phelps who is an ambassador for Colgate's "Save the Water" campaign.
Phelps remembered compartmentalizing his dark feelings rather than working through what was bothering him.
"After years, and years, and years of just shoving every negative, bad feeling down to the point where I mean, I just didn't even feel it anymore," he explained. "It was a long, long, long road and I just never wanted to deal with it. And for me, that sent me down a spiral staircase real quick and like I said, I found myself in a spot where I didn't want to be alive anymore."
Phelps credits finally being able to talk about what he had been storing away as ultimately saving his life.
He is part of the documentary "Angst" and through the Michael Phelps Foundation, he hopes to help others, especially children, dealing with mental health issues. He encourages people to remember that we are all going through similar things together and emphasizes the importance of having an open dialogue about our feelings.
"You know, for me, I basically carried just about every negative emotion you can possibly carry along for 15, 20 years and I never talked about it. And I don't know why that one day I decided to just open up. But since that day it's just been so much easier to live and so much easier to enjoy life and it's something I'm very thankful for," he explained.
Now as a father to toddler Boomer, and with another child on the way, Phelps plans to openly talk to his kids about his own mental health issues.
"I think for me I'll share every experience with my children. You know, I get the question from time to time now, 'If I could change anything in my life, would I?' And no. You know, yeah, some of them have been absolutely miserable and brutal and haven't been the funnest experiences to go through, but they've made me who I am today and they really have helped me grow as a person," explained Phelps.
Phelps credits his mom as setting the example for how he wants to raise his kids. He says she was always there to guide him and his sisters through life's trials and tribulations.
"I was able to grow through it. You know, I think I'm now finally to the point where I can look at myself in the mirror and like who I see," he said. "I mean, it's life. We all go through ups and downs. And I have a great support system and a great group around me and I'm happy."