Five years ago, my agent fired me. The way it happened was quite brutal. I just got an email one morning, two lines long, saying: we’ve had a chat and we don’t think we can do any more for you. And that was that. A relationship that had lasted nine years – my whole career, really - vanished.

I felt lost, the way you do when you break up from a long-term relationship. At the same time I had to go to people and say: do you think you can help me restart my career? Two or three people I approached weren’t interested, including my first choice. One said: I don’t really see this career working out for you. That still comes back to me almost every day.

"Alcohol is my happy place... but it’s only a temporary fix"

As a comedian, your self-esteem is so tied up in your job that rejections hit hard. For me, it comes out as a sort of depression. A lot of what you do in this job feels like grovelling in front of people, saying: ‘how much do you love me?’ It can be tiring. Sometimes, when I come back to the hotel after a gig, I feel like one of those salesmen you see in old American films who have to travel thousands of miles with some samples before finally getting back to their motel at midnight… stand up is a bit like that, except the stuff in your briefcase is you: your jokes and your personality.

I have occasional periods where bad habits overwhelm me. Drinking, for example. I drink a lot. In good periods I drink a reasonable amount, the way it should be. At bad times it’s my go-to. I’ve never done comfort eating, never smoked, never really used any other sort of drug. But alcohol is my happy place. Unfortunately, it’s only a temporary fix. I’m experienced enough now to realise when it’s happening. As you get older you understand your own tendencies better.

"I was going on shows like 'Mock The Week', even though I didn't really enjoy it"

One thing I did around that time was start running. Today, I run four times a week and I’m training for a marathon. There are things physical exercise can do that breaks you out of your brain. We’re all trapped in our thoughts, and it's very difficult to use your mind to make your own mind better. I find intense physical activity helps. A lot of people talk about going for walks to get their thoughts in order, but for me it’s the opposite: ruining obliterates your thoughts. All you can think about is your pace, how far you’ve run, if you should be drinking more water… all these mechanical, moment to moment thoughts are quite healthy, because that’s two hours you’re not focusing on anything else.

When I lost my agent, I took some time to reassess my options and think hard about what I really wanted. In that period I was pursuing panel shows like Mock The Week very hard, and without even being fully aware of it, putting huge pressure on myself to be on them regularly. I started to realise I didn’t actually like doing those shows, I’d just convinced myself that was the only way to achieve my career objectives.

So I reset. I got a new agent. I started to focus more on stuff that would make me more creatively fulfilled, or that I was better at. It’s easy to say this - and I disregard it myself many times a day - but if you can, focus more on what you want to do than what people expect of you. Being proactive – ending the day feeling satisfied with what you’ve done - is a great source of mental calm.

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My new show is called The Infinite Show, and it’s about empathy – the idea we’re all connected, often in ways we can’t put our finger on or don’t know about. What made me want to talk about empathy is that, since Brexit, it’s felt like 50% of the country is calling the other 50% a bunch of idiots, without listening to each other. I’m about to take it to Edinburgh and then after that, on a very, very long tour… like Bob Dylan, just with new material.

The common advice when it comes to mental health is: find someone to talk to. I’d say that’s true. In my case, I definitely spoke about how I was feeling to a small circle of trusted people. It’s difficult to share disappointments without it feeling like an admission of failure, but it helps. It’s also worth remembering that reaching out by email or text can be effective too. Men hear a lot that if they’re feeling down, they should just find someone to go for a pint with, but often, if you’re at your lowest, that’s the last thing you want to do. You can connect with people without leaving your bed if you’re having a really bad day.

There are as many approaches to mental health as there are people and people respond to different things, so another thing I’d like to see is a widening of the mental health vocabulary. Sport give us a lot of good analogies, doesn’t it? “I’m looking for a big response today” you could say to yourself after a knock back. Yeah, I like that.

Mark Watson was talking to Sam Parker.

Mark Watson: The Infinite Show is on at the Edinburgh Festival Fringe and then touring nationwide. See markwatsonthecomedian.com for more details.

For information and support regarding mental health, check out thecalmzone.net; mind.org.uk; consolecounselling.co.uk; samaritans.org.