Without a fixed routine during the outbreak, he says that he's endured one of the toughest stretches of his life.
"The pandemic has been one of the scariest times I've been through.
"I'm thankful that my family and I are safe and healthy. I'm grateful we don't have to worry about paying bills or putting food on the table, like so many other folks right now. But still, I'm struggling."
Phelps has become an advocate for openly discussing mental health after his retirement.
He has described how therapy and support from his wife, Nicole, has helped him manage his depressive episodes.
In recent weeks, he says that he has relied on escaping to the gym for 90 minutes in the morning each day.
"If I miss a day, it's a disaster," said Phelps.
"Then I get into a negative pattern of thinking in my own head. And when that happens, I'm the only one who can stop it. And it typically doesn't stop very fast.
"I'll just drag it out, almost to punish myself in a way. That's what I do if I make a mistake or if I upset somebody, then I think it's always my fault and just take it all out on myself.
"When that happens day after day, you can put yourself in a scary situation pretty quickly. And that's been this quarantine a lot of the time."
Phelps is a spokesman for online therapy company TalkSpace and earlier this month donated 500 months of free therapy to medical workers on the front line of the Covid-19 response.
He also launched the Michael Phelps Foundation that promotes healthier lifestyles for children through swimming.
"I want to help others. And I want to hold myself accountable," said Phelps.
"There are a ton of people fighting the exact same thing. It doesn't matter what you went through, where you've come from or what you want to be.
"Nothing can hold you back. You just need to learn the tricks that work for you and then stick with them, believe in them, to keep yourself from getting into a negative cycle."