"I didn’t know it was depression, I just thought I was having up and down days," Selby told BBC Radio 5 Live.
The 39-year-old revealed mental health struggles last January, but capped 2022 off by winning the English Open.
Selby said hearing Fury talk about his own battle with depression helped him confront his own issues.
“The more I listened to him talk I thought ‘I feel like that’.
“I could relate to what he was saying and how he was feeling,” he said.