This story is part of the Top of the Game series, where CNBC Make It delves into the habits, routines and mindsets that top athletes use to achieve peak performance and success.

Lindsey Vonn knows success. She also knows stress, exhaustion and depression.

From the age of 16, Vonn dominated the skiing world with a women's record 82 World Cup wins, including four overall World Cup championships and three Olympic medals, one gold and two bronze. She retired in 2019 — and battled mental illness throughout her 19-year career.

"I've had depression since I was a teenager," Vonn, 37, tells CNBC Make It.

Between depression and a laundry list of injuries and crashes — including multiple knee surgeries, a concussion and season-ending ACL sprain — Vonn says she could barely get out of bed some days.

She learned to "lean into" those struggles by journaling, building a support system around her and finding little joys every day. She also credits her unconventional style of preparation, naps and love for her sport to her success.

"No matter how depressed I got, skiing always made me happy," she says.

Here, Vonn discusses what made her stand out competitively, how she fought depression and injuries, and her advice for others struggling with their own mental health.

How Vonn combined determination and 'unconventional' tactics to find success

I definitely had skill. But I think, more than anything, I approached the sport differently.

I tried unconventional things to improve myself, like skiing with men's skis. I was very meticulous with my note-taking, equipment and analyzing video. [My] success was a combination of all of the lengths I was willing to go to get to the top and to stay there.

My determination is what drove it all. Without that grit and determination, I wouldn't have done all the minutiae things that you need to be at the top.

Inside the trial-and-error approach she used to deal with pressure

I never had a mental coach. I didn't do any sort of sports psychology. I just found a way to deal with the pressure through trial and error.

I had little mantras, where I would tell myself that I could do it. I used different breathing techniques. I think my form of meditation was sleeping — I took a lot of naps.

That was my way to calm myself, after all the stress of competing. The only time I had any sort of meditative-type state was at the starting gate.

I was always very emotionally invested. Defeat always affected me. But as soon as that passed, I took it as a learning experience. Injuries and losses are character-building, and they give you perspective.

If you only have success, it's pretty boring. I mean, who wouldn't want that? But I appreciated the wins so much more, because I had so many injuries and I crashed so many times.

Her tactics for staying mentally healthy while competing

I think the conversation that we're having now with Naomi [Osaka] and Simone [Biles] is great. Michael Phelps and Kevin Love, too. Talking about [mental health] has definitely become more of a social norm.

I've had depression since I was a teenager, and I still get questions: Are you on medication? How are you feeling? Are you OK?

My physical therapist, Lindsay Winninger, would sometimes have to drag me out of bed. I just didn't want to get up. I thought it was pointless, because I kept repeatedly getting injured. After a certain amount of time, it's hard to see if there's any light at the end of the tunnel.

I dealt with it by journaling and finding daily goals that helped me stay positive. Every time I got injured, I said, "OK, how long is it going to take me to get back to where I need to be?" Then, I worked backwards from there.

Sometimes, the long-term goal can seem so far away. Major injuries can take six, eight or 10 months [to heal]. The day-to-day grind is mentally exhausting, more so than physically.

I [focused] on the little victories every day to keep myself positive and motivated. You need those little victories. And you need to keep that long-term carrot dangling in front of you to motivate you every day.

Vonn's advice to others battling mental health issues

The most important thing is having a support system and being able to talk to somebody — whether that's a physical therapist, psychologist, family member, friend, or journaling. The more you lean into [talking about] it, the better you feel. You can actually process it more.

If you suppress it, and I can definitely attest to that, the worse it gets. I had been battling it for 15 years before I told anyone. It was a huge weight off my shoulders when I finally spoke about it.

It's also important to find those things that help reset you. For me, that's spending time with my dogs or watching "Law & Order" and having some Ben and Jerry's. I have to work out almost every day, because that's what keeps me sane.

Everyone has their own things that they need. It's about finding those things that help you stay positive, and leaning into them.

This interview has been edited for length and clarity.

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