The 77-year-old made the admission in a blog post on his website, as he noted the past 12 months have "been overwhelming".
While he said there have been some "great things, exciting things" happening, there have also been massive lows and "nightmares' to live through, as he wrote: "I have lost friends. Battled sadness and depression. The worst may be yet to come.
"I turned seventy-seven last September, and I tell you, getting old is no fun."
Martin went on to the recall the "amazing times", as he added: "I suppose that's just life. Of course, I knew that. If you've read my stories, you know that."
One of the biggest positives over the past year has been Martin's series A Knight of the Seven Kingdoms - a prequel to Game of Thrones - nominated for nine Emmy Awards, including Outstanding Drama Series.
He said: "The awards ceremony will be Monday, September 14 at the Peacock Theatre in Los Angeles," he wrote. "I hope to attend… but that depends on … well, on a lot of things.
"I am proud of our team, and hope we take home a few of the statues, but I will confess that I was hoping we'd get a few of the acting nominations as well. But there's always next year."
While Martin didn't go into details as to what has been affecting his mental health, he has previously spoken about how frustrated he's getting while trying to write the next book in the Song of Ice and Fire saga - The Winds of Winter.
The last book in the series was A Dance with Dragons back in 2001, with Martin opening up about the new book's status during an interview with The Hollywood Reporter in January.
He said at the time: "I do think if I can just get some of these other things off my back, I could finish The Winds of Winter pretty soon.
"It's been made clear to me that Winds is the priority, but… I don't know. Sometimes I'm not in the mood for that."
Martin has also told fans he's planning to write a seventh book in the saga after Winds of Winter, and it will be called A Dream of Spring.
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