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The former Red Bull Racing team principal, who lives with his wife Geri Horner close to the Oxfordshire border near Banbury, said he initially did not understand what was happening to him.
Mr Horner told The Guardian: "I didn't know what it was. You suddenly feel dizzy and conscious of your breathing, and you think there's something strange going on. I put it down to having had too much coffee on an oppressive, muggy, thundery day."
The 52-year-old said the symptoms subsequently returned and he sought medical advice.
Mr Horner said: "Then it happened again. I got checked out, and there was nothing physically the matter.
"They said, 'We think you have anxiety. Your breathing's very shallow.' It was my body telling me you're pushing pretty hard here. I'm able to recognise the symptoms now and let it go, and breathe."
Mr Horner led Red Bull Racing for two decades before leaving the Formula 1 team in July 2025.
Speaking about mental health, he also praised Mercedes team principal Toto Wolff for previously discussing his own experiences.
Mr Horner said: "Toto was very brave to talk openly about such a factor for people our age.
"I hadn't experienced those issues, but I had an appreciation during this period of how people could [suffer]."
He also reflected on losing the identity that can come from a demanding career.
Mr Horner said: "The identity of many middle-aged guys is through their work. Suddenly you have that stripped and taken from you.
"Who are you? What are you? What is your purpose? You either curl up into a ball or brush yourself down and get up."
Despite leaving Red Bull Racing, Mr Horner said he retains his enthusiasm for Formula 1.
He added: "The people, the team, the competition. I still love the sport. But I don't miss the travel and politics."