The USA swimmer, who has won 12 medals at the Games, hit the headlines for the wrong reasons last year due to his behaviour away from the pool.
Lochte claimed that he had been held up at a petrol station in Rio de Janeiro, but later admitted to fabricating the story after CCTV footage showed that he - along with fellow American swimmers Gunnar Bentz, Jack Conger and James Feigen - had vandalised the property.
Speaking to ESPN, Lochte said: "After Rio, I was probably the most hated person in the world. There were a couple of points where I was crying, thinking, 'If I go to bed and never wake up, fine'. I was about to hang up my entire life.
"You can be at the all-time high and then the next second the all-time low. I love being at the Olympics, but I'm the opposite of what you'd expect. It's been that way my whole life. I don't fit in."
Lochte has won six Olympic gold medals in total, one of which came in the 4×200m freestyle event in Rio last year.