According to a research paper written a few years ago by Scott Tinley, many retired pro athletes find themselves struggling with depression. It’s probably more prevalant than one would think. Some are able to adjust to the change and move on to a new chapter in their life, while others struggle. A lot seemed to depend on the maturity of the athlete when they were at their peak, and how sheltered they were during their formative years, and whether or not they had a plan for their life after they retired.
He expanded on his paper by writing a book on it:
http://www.amazon.ca/Racing-Sunset-Athletes-Quest-After/dp/1592280951
Mental illness is more common than one may realise. What manifests it, or what helps ward it off is probably as varied as the people who suffer from it.