The Secrets and Lies star opened up to Elleabout how battling depression has affected him and those around him.
"You know, depression has been a huge obstacle for me ever since I was a child. As you get older I think it decreases some, but I'm just innately kind of a sad person," he said. "I'm empathetic, and I take on the feelings of others and transpose myself into the position of others. I see it in my daughter."
Phillippe, 40, shares daughter Ava, 15, with actress Reese Witherspoon, and he told the mag that Ava too has depression.
"She has it, and I wish to hell she didn't. It's just, some people do have this pervading sort of sadness, or they're so analytical that they can kind of take the fun out of things because they think too much," he explained.
The depression has not ruined his sense of humor though. When asked about that famous Girls episode where they debate how to pronounce his last name, he says he "loved it so much."
"And then, a couple nights later, I was at the Howard Stern birthday party, and Lena Dunham was at my table, and she asked me if I was upset about it," he said. "I was like, 'What are you talking about? That's the coolest thing.' I'm a big supporter."
You can see Phillippe play a family man who is the suspect in the murder of a little boy in Secrets and Lies airing Sundays on ABC.