The 61-year-old actor has become one of Hollywood's most bankable stars but he initially struggled to cope with the pressures of fame and success.
Appearing in Tara Wood's four-part untitled documentary series about director Tim Burton, Depp shared: "People would whisper and point their finger and stuff. I felt like sort of this raw nerve on display."
He has enjoyed a hugely successful working relationship with the acclaimed director, starring in movies such as Edward Scissorhands, Sleepy Hollow, and Charlie and the Chocolate Factory.
And the star believes that they've always "related on a lot of levels".
Depp said: "What I noticed the first time we met was he wasn't saying very many words. (Tim) would begin a sentence and I would go 'Oh yeah,' and then we would talk about Boris Karloff or something. We related on a lot of levels."
Despite this, he feared that he was "blowing it" part-way through making Edward Scissorhands, the 1990 fantasy film.
He explained: "I was cast in the film but I was stepping into a kind of family that I hadn't been totally brought into yet.
"I was absolutely convinced that I was blowing it. Tim had rehearsed everyone else in the cast. Everyone. Not me. He didn't rehearse me. He was excluding me from the cast and crew, isolating me."
Depp admitted that Burton's approach left him feeling "uber paranoid".
The movie star - whose films have grossed more than $US8 billion ($A13 billion) worldwide - said: "It was scary. I was uber paranoid.
"Why is (Tim) not rehearsing me? Maybe he trusts me. No he doesn't. He doesn't trust you, what are you nuts? He's going to cast someone else, man."
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