MasterChef star has previously confessed that he went to seek therapy after his stint on in 2014.
Speaking to last year, the TV chef opened up about his appearance on the BBC dance competition and how it left him with "anxiety levels soaring".
"I was having a really tough time. I was really, really stressed... so badly that the side of my face broke out into a rash, like cold sores," he told the publication.
BBC bosses were so concerned about Gregg that they suggested that he spoke to a therapist.
During one Saturday live show, his therapist rushed to him in the studio when he asked for help just moments before he was due to take to the dancefloor.
Gregg continued: "I was due to do the dance that night and I called her up and said, 'Are you free? Can you come and help me?'
"She jumped in the car, came into my dressing room and had me in floods of tears. But I went out and danced."
The 59-year-old was partnered with professional dancer Aliona Vilani and was voted off the show after just two weeks.
Since his time on the programme, Gregg has managed to cope with his anxiety through self-care and therapy, "including exercise, eating well, and cutting down on booze".
He also encourages males to open up more about mental health problems.
He added: "We've gone well past the stage where there's any stigma about talking about these things. If you are suffering at all, go and get help."
Gregg also spoke to the about his low self-esteem in 2018.
"A Strictly physiotherapist put me in touch with a therapist who identified low self-esteem," he said.
"She gave me techniques to cope that I still use: for example, sometimes writing down the issues you think are bothering you can help.
"Through therapy I found the source of my anxiety."
Strictly Come Dancing resumes on Saturday on BBC One and BBC iPlayer.
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