Former middle distance runner Dame Kelly spoke out about cutting herself daily with scissors at a health and wellbeing show in Tunbridge Wells, in Kent.
She said she harmed herself to release intense feelings as she recovered from seven career-threatening injuries, beginning with one sustained during the 1997 world championships.
The 47-year-old overcame the troubled period and went on to become the first British woman to claim double Olympic gold in the same Games, winning both the 800m and 1,500m races in Athens in 2004.
Dame Kelly told the BBC: "At my lowest, I was cutting myself with scissors every day that I was injured.
"The scissors were in the bathroom and I used them to release the anguish that I had. It was really a bad place to be.
"But my biggest message to people is that you can get out of that and you can still achieve."
Dame Kelly, who joined the Army at 17 before becoming an athlete, has previously spoken of how she hid her depression for fear of backlash but said mental health needed to be "shouted about more".
Speaking at the NHS Confederation conference in Manchester last year, she praised the work of the NHS and her own GP who she said helped her to fulfil her childhood dream of becoming an Olympian.