The revelations came as he took part in a new film to highlight mental health.
The ex-player said: "I certainly played in Celtic-Rangers games where I've no recollection of the game.
"I remember winning 2-0 at Ibrox and the dressing room was euphoric.
"I'm just sitting in the corner relieved that it's over, wanting to go home and close the door, turn off the light and not speak to anybody."
PFA Scotland launched the specially-commissioned film yesterday with the Scottish Association For Mental Health.
The manager spoke publicly about his battle with depression.
Lennon said: "I was at the top of my career with Leicester, we'd just won the League Cup, I'd signed a new contract - I had everything I wanted in life.
"I had the money, the house, the lifestyle, playing Premier League football at 29, the peak of my career.
"But I woke up one morning and just felt: 'Something's not right here'. And it snowballed.
"What I found about depression was it wasn't just a mental illness, it affected me physically, as well, through lack of sleep, lack of appetite."
He added: "Eventually I got better through taking anti-depressants. The only time it recurred was when I stopped taking them.
"When you are going through something like that, you feel like you are in a void and you'll never get out of it.
"The best thing when you have depression is to talk to someone about it.
"They can explain that you are going through a bad period because of this illness - but you will get better."