The Parkhead boss has spoken out on the subject, which is largely regarded as a taboo within the national sport.
Mr Lennon, who appears in the educational film Mind Games: Mental Health in Scottish Football, believes openly discussing such issues is vital.
He suffered throughout his career but only revealed the problem in his autobiography after his playing days were over.
He said: "You have a group of highly-charged men who might look upon depression as a sign of weakness.
"Yet, some of the strongest, most intelligent, most driven individuals in history have suffered from depression. It's something I've been able to deal with a lot better since I have talked about it."
The film, created by the Scottish Professional Footballer's Association (SPFA) was released this week as part of a wider campaign to raise awareness of mental health issues in football.
Appearing alongside Mr Lennon is another unnamed professional footballer who has spoken out on his experiences for the first time.
Jack Ross, communications officer with the SPFA, hoped the player's example would help to nurture greater openness of depression among professionals.
He said: "For somebody who is still playing to have the courage to speak out is huge.
"Players are under constant public performance evaluation - from fans, the mainstream media and now social media as well."