I had a 13-year-old girl message me saying she's getting bullied at school, saying she can't eat, she can't sleep and she's 13. It's so sad," he said.
He talked to the girl and encouraged her to get help.
All Blacks great and depression awareness campaigner Sir John Kirwan will be in Mr Davies' old school, Kamo High, on September 7 talking about the issue and Mr Davies said he would love to do something similar.
Westpac Ambassador Sir John will open up about his own experiences and focus on resilience and courage.
"I just tell my story. Why would I be depressed? I had the perfect world. I was an All Black living a great life.
"And often that's the first question you'd say to yourself, you know," he said.
"There are a couple of things that are really important for me. Firstly, depression, it's an illness, not a weakness.
"Youth in New Zealand and our rural sector have the highest suicide rates, so it's not something we can ignore.
"It's something I want to tackle head on and openly talk about because you can get through it and there's a lot of hope out there if you reach out and look for it."
Mr Davies agreed that talking was a great help. Now recovering, he traced his depression back to moving to Auckland at the beginning of this year to study engineering.
"I had too much going on ... I got involved with a network marketing company and I had a lot of pressure with that and I kept getting injured in rugby and I kept getting pressure to play when I was injured."
Things worsened and he considered taking his life.
"It was at that point that I reached out for help," he said.
Mr Davies saw a doctor and has opened up to his friends. He hopes his Facebook page will help others.
"What [people have] got to realise is once they do start to talk to people, the problems that they have basically halve every time. That's what my mum always told me."
Since posting his video online Mr Davies has received hundreds of messages from people who have opened up to him. His message to people who have depression?
"You are sick, you need help. There is no difference to breaking your leg, it takes time to heal but you will beat this illness."
- Sir John Kirwan will be speaking at Kamo High School on Wednesday, September 7 at 5.30pm. To register for the free event people are invited to visit www.eiseverywhere.com/ereg/newreg.php?eventid=171513&
Where to get help:
• www.lifeline.co.nz - 0800 543 354 (available 24/7).
• Suicide Crisis Helpline - 0508 828 865 (0508 TAUTOKO) (available 24/7).
• www.youthline.co.nz, Youthline - 0800 376 633.
• www.kidsline.org.nz, Kidsline - 0800 543 754 (available 24/7).
• www.whatsup.co.nz, Whatsup - 0800 942 8787 (1pm to 11pm).
• www.depression.org.nz, Depression helpline - 0800 111 757 (available 24/7).
• www.rainbowyouth.org.nz, Rainbow Youth - (09) 376 4155.
• www.samaritans.org.nz, Samaritans - 0800 726 666.
• If it is an emergency and you feel like you or someone else is at risk, call 111.