Gulman recorded a HBO special in June 2019, entitled "The Great Depresh". Judd Apatow served as executive producer. The special premiered on HBO on October 5, 2019 and sees Gulman opening up about his depression, anxiety and hospitalization. He has described the show as "a hybrid, where I do some documentary about my recovery, treatment, and my hospitalization, and then I do stand-up surrounding that." It includes conversations with his wife Sade, his psychiatrist Dr. Richard Friedman, and his mother Barbara, who asked "if Judd Apatow could make her look thinner". Gulman has stated he had "retired from life" because of his crippling depression for more than two years before recovering through treatment and medication. However, he felt very anxious and sad when he got back on stage, and his way of dealing with that was to joke about it, leading to the idea for the special. Gulman credits his psychiatrist with guiding him through medication, treatment and hospitalization, which he was particularly terrified of because all he knew about it previously were the negative depictions of hospitalization like "One Flew Over the Cuckoo's Nest" and "Girl, Interrupted". He has stated that his hospitalization actually "turned out very ordinary, and so helpful" and he hopes that sharing his experience will help to destigmatize medication and therapy.