The union boss, who has been at the helm for 11 years, will depart in May to replace Todd Greenberg as chief executive of the Australian Cricketers' Association.
Marsh took pride in the AFL's advancement in the mental health space during his tenure.
"One of the things we do annually is we'll survey the players and get a sense of where they're at and what are their big issues," he said.
"Mental health has been consistently the number one issue to the players.
"And one of the things that we're really proud of is the reform that we've led around the industry.
"This is a high pressure industry, and I think we've come a long way in this space over the last 10 or so years."
Marsh noted the increased scrutiny that has come with bigger rights deals and wider media coverage.
"Not everyone's built in the way that they can deal with the scrutiny that comes with it, and it's 365 days a year now, the scrutiny on some players," he said.
"So I foresee this is going to be a bigger challenge going forward. It's not going to get easier for the players on this front.
"I'd love to see a little bit more measured commentary coming out of the media at times, but we also understand that that's where the money comes from.
"And so there's a reality here that I think players are just trying to work out how they're going to deal with it."
Marsh is also confident the union and AFL are "getting closer to a resolution" regarding changing the illicit drugs policy.
Those negotiations were complicated in March when it emerged the AFL had given Sports Integrity Australia a list of players who could potentially be target tested under the separate anti-doping policy.
"There's two issues that are running parallel with the drugs policy," Marsh said.
"There's the actual negotiation of what it looks like, and then there's the Sport Integrity Australia issue that we're waiting on some answers from the AFL around ... and I think that's a really important part of this.
"We won't actually get an outcome until we understand what's taken place and then whether that was appropriate."
The AFLPA will start its search for a new CEO, mere weeks after Geelong captain Patrick Dangerfield stepped down as president in favour of Collingwood skipper Darcy Moore.
Marsh, the son of Australian cricket great Rod Marsh, felt it was time for a new challenge after 11 years and multiple historic player collective bargaining agreements (CBA).
"It's a good time, we're a couple of years out from the next collective bargaining agreement. If I had to wait any longer, I think it's difficult for the next person coming in," he said.
"So a variety of factors, but cricket's in my blood."
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