Lukaku says he was ready to quit the national team after the Qatar World Cup. The striker managed just 54 minutes due to injury as Belgium were bounced out at the group phase.
"After the WC 2022 I cried every day for several weeks," said Lukaku.
"I wanted to be there for my country because the coach and the team needed me.
"It was the first time in 29 years that football touched me. I never thought about depression, but I cried every day for weeks.
"Thierry Henry (then national team assistant) called me three times a day. My mother and my children were in Milan, but I had no energy. I needed to be alone for a while."
He added, "When he came, I wanted to stop.
"But he said he needed me. So I went home, talked to my family, and then I decided to continue."