The 27-year old has opened up about his struggle with the mental illness as he vouches to get his career back on track.
Milicevic had a tumultuous stint with the Melbourne Victory last season and eventually agreed to mutually terminate his contract.
The pressure of trying to make it in Europe prior to events in Melbourne kickstarted his depression although he has harnessed it recently.
“If I am really honest, (my depression) has been ongoing since I went overseas,” he said.
“What brought it on the first time was being injured and being isolated and not having anyone around to keep you up. Being injured and isolated in a foreign country can bring you down.
“I’m not suffering from depression now but I know that I went through it.”