The sports icons joined celebrities and ordinary people at Sydney's Bondi beach this morning to launch RU OK? Day.
Trickett, who won gold at the London Olympics, says Australians need to simply ask each other about their welfare.
"A lot of people are surprised to know that I had a personal experience with depression in 2010," she told an audience at a beachside pavilion.
"At one point someone in my family did attempt suicide."
Wendell, who fought a very public battle with cocaine use in 2006, recalled a "tough time" six years ago, although he didn't contemplate suicide.
"At no stage did I think about it but I did get depressed for six weeks," he said.
"I was sitting on the couch."
Wendell credited Queensland Origin legend Darren Lockyer, Broncos coach Wayne Bennett and Wallabies teammate Lote Tuqiri for helping him recover.
"I might not be here today, I might not have pushed through," he said.
Sydney's "Angel of the Gap", the late Don Ritchie, OAM, will be remembered on Thursday for saving the lives of hundreds of people who planned to jump from the cliff near his home in the eastern suburb of Watsons Bay.
* Readers seeking support and information about suicide prevention can contact Lifeline on 13 11 14 or Suicide Call Back Service 1300 659 467.