Fury, 30, who fights America's WBC heavyweight champion Deontay Wilder on December 1, also talked about his alcoholism and drug addiction in a candid interview.
"I would start thinking these crazy thoughts," Tyson told video podcast The Joe Rogan Experience. "I bought a brand new Ferrari convertible in the summer of 2016.
"I was in it on the highway and at the bottom, I got the car up to 190mph and heading towards a bridge.
"I didn't care about nothing. I just wanted to die so bad. I gave up on life, but as I was heading to the bridge I heard a voice saying, 'No, don't do this Tyson, think about your kids, your family, your sons and daughter growing up without a dad.'"
Tyson discussed how his life spiralled out of control in 2015 after he defeated Wladimir Klitschko in Dusseldorf to become WBA, IBF and WBO heavyweight champion.
"I'd wake up and think, 'Why did I wake up this morning?' he said. "And this is coming from a man who won everything. Money, fame, glory, titles, a wife, family and kids - everything."
Tyson said he visited a psychiatrist but was only able to mount his latest challenge for the heavyweight title due to his faith in God.
"I was out at Halloween in 2017 dressed as a skeleton, but I was 29 and everyone was younger and I thought, 'is this what I want from my life?' he said.
"I left early and went home into a dark room, took the skeleton suit off and I prayed to God to help me. I'd never begged to God to help me. I could feel tears running down my face.
"I almost accepted that being an alcoholic was my fate but after praying for 10 minutes, I got up and felt the weight was lifted off my shoulders.
"For the first time in my life I thought I was going to be OK. I knew I couldn't do it on my own."
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