The `Mad Men` actor became an orphan at the age of 20 - following the death of his father, 10 years after the passing of his mother - and despite not wanting to, went to see a therapist, who he believes she helped him greatly.
He said: "I had no concept of what going to see shrink meant. I`m a 20-year-old idiot, in the Midwest. This is not Woody Allen in New York. We don`t sit around and talk about our feelings. We certainly don`t sit around and compare shrinks.
"But I went to the lady. Sat down and talked to the lady. I gotta say, it helps. Talking to anybody helps. Talking to your friends helps. But your friends are your friends. They`ll tell you what you want to hear. The shrink doesn`t sugarcoat it: `Hey, you`re f**ked up. Do this, this and this. Don`t do this anymore.` It`s a wonderful third-person perspective that you get from an analyst. It`s invaluable, I think."
Jon - who plays advertising boss Don Draper in the 1960s drama series - added before he sought help, he had no direction in his life.
He told Esquire magazine: "I was bummed out and when you`re bummed out it`s hard to do other stuff, like even wake up in the morning. It`s something that causes you to struggle in the world."