The most successful female American skier in history told People magazine she is currently taking anti-depression pills to combat the illness.
"Everything about my life seemed so perfect to people. But I struggle like everyone else," Vonn said.
She added that at one point in 2008, she struggled to even get out of bed in the mornings.
"I felt hopeless, empty, like a zombie," she said.
Vonn filed for divorce from her husband Thomas Vonn - also her manager and coach - late last year and the 28-year-old claims the split has helped her outlook on life.
"I feel like I just needed to get everything off my chest," she said."All the parts of my life are finally in sync. I accept who I am, and I'm moving forward."
Vonn, who is currently third in the overall World Cup standings, has missed action this season after being hospitalised with a stomach complaint, although her agent said that problem was unrelated to her depression.
Vonn has won her last four speed races this season and will seek to extend that record at Val d'Isere this weekend.