"It was a big, big, big old gig," he said. "Second song in I was probably just like 'this has to like... I can't keep doing this to myself and other people as well'.
"People were coming to gigs, and I was like 'that's not how you want to watch a show'.
"As far as I was concerned, I was like, 'I'm done, indefinitely'."
Capaldi also said that he had felt anxious, "wasn't living in the moment at all" and was "catastrophising".
He said: "Therapy has been such a massive part of my last two years, a massive part of the reason that I'm able to be a musician again."
He announced that, in partnership with the BetterHelp charity, and "to reflect my experience of therapy and the importance I feel it has in my life and other people's lives," they were giving away 734,000 free hours of therapy.
He added: "The importance of that number is that it's 1,000 hours for every single day... since I last played on stage [before his year's Glastonbury] and I feel like, if I can be a part of sharing that with other people, why not?"
He said that when he had previously had therapy, he had been "lying" to the therapist and "telling them what I thought they wanted to hear".
He said he now found therapy difficult but it was worth it.
"I really struggle with it, it's not fun. I don't have a fun time there.
"I feel amazing after. Sometimes it can be really difficult, but I think I do it because I realise how important it is for me to continue to feel good, because I've felt the best I've felt in a long time through therapy. I would say that has been the cornerstone of why I feel how good I feel now.
He added: "A big thing I've noticed or found, is that different therapists work for different people.
"So I think it's all about giving the time to therapy as well, also not expecting that quick fix. I'm someone who likes instant gratification... so I think coming to terms with that was a big thing."
Capaldi is best known for his such as Forget Me, Wish You The Best and Hold Me While You Wait, recently released his first new music since 2023 and will tour later this year.