Lindegaard, 28, lost his place in the United goal when he picked up an ankle knock in January.
He had starred in his last six games for the club but could only watch on as David De Gea snatched back the No1 jersey.
He told The Sun: “If you look at it objectively, it was maybe one of the worst situations a football player has ever been in.
“I had worked for that spot since I was four.
“From the first time I touched the ball, that is what I dreamed of.
“It has been a very frustrating period, from the day I got injured until after the Euros.
“But I have to try and use it in a positive way. The disappointment was so big, if I let it drag me down, I will never get out of that hole again.”