Bailey, 31, was treated last year at the Sporting Chance clinic, set up by former Arsenal footballer Tony Adams.
"You think it's weakness but that's the best thing I've ever done, asking for help," he told BBC Radio Merseyside.
"I never asked for help in my life for anything because it's like weakness especially in a manly sport like this."
The former Great Britain and England international had short spells with Hull KR and Castleford last season before agreeing a one-year deal with Warrington in November.
"I used Sporting Chance because I'd hit rock bottom and I got really bad depression. It was the toughest thing I've ever done but the most rewarding. I got a lot out of it and I wouldn't be here at Warrington if it wasn't for that," he said.
"Leaving Leeds, my hometown club and a lot of good teammates there, and having to just get my head round that, I think I rushed into things with going to Hull KR."
The prop forward still feels he can play for a few more years despite his age, but admitted he faced competition to break into the Warrington side.
"I'm getting older now but I've got four five years left in me feel fit and strong," he added. We've got a strong side so everyone's fighting for their spot this year."
Warrington Wolves prop forward Ryan Bailey says he would not have joined the club if he had not received help for depression.