The 2006 champion has failed to win his last 15 matches, the worst run of his professional career.
He has had to contend with personal traumas in the past 18 months, including the death of his father-in-law, who was also his manager, and a cancer scare for his wife, who was given the all-clear.
Dott, 30, said: "I desperately want to play but I've not been in the right frame of mind for some time as you can see from my results.
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"I will only go to Sheffield if I feel I can do myself justice."
Dott is due to face Joe Perry in his opening match at the Crucible on Tuesday April 22.
His manager Pat Mooney told the Scottish Sun: "Graeme has been diagnosed as suffering from depression and is now taking steps to getting back to full health.
"All that matters at this time is Graeme's health and the well-being of his family."
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