The football legend was found dead at home in November 2011 and questions have always remained over his state of his mind when he took his own life at the age of 42.
Now, in an interview with The Mirror, theÂ widow of the late Wales manager and Leeds United aceÂ says a letter he wrote as a teenager hinted at mental health problems.
Louise Speed discovered a letter he wrote to her as a 17-year-old and inÂ it heÂ wrote: "I'm so depressed. I'm just going to sleep now and hope I never wake up."
She said she found the note, written while he was at Leeds United, during research into a new book about the Speed family.
"Seeing that was a light-bulb moment for me, in many ways. It answers an awful lot about why he did what he did. It's not something a normal 17-year-old would write, is it? Or not a well one," she said.
"Maybe the mental illness or depression was always there from an early age and it's been ruminating all his life.
"If so, us having Gary until he was 42 was maybe a bonus."
At the 2012 inquest into his death, Mrs Speed said four days before he died her husband had sent her a text message talking "in terms of taking his life".
She said the text conversation referred to their "ups and downs" but also mentioned "how important the couple's two sonsÂ were" and about "moving forward".
In a successful career, he made 841 career appearances for five clubs - Leeds, Everton, Newcastle, Bolton and Sheffield United.
The midfielder was capped 85 times by Wales, scoring seven goals, before going into management with first Sheffield United and later on, Wales.
Speed won the First Division title with Leeds in 1992 and sits fifth on the list of all time Premier League appearances with 535. Only David James (572), Frank Lampard (609), Ryan Giggs (632) and Gareth Barry (632) have made more.
Speed was in charge at Sheffield United for 18 games at the end of 2010 before becoming manager of Wales.
Prior to becoming Blades boss, Speed also played 40 games for United, scoring six goals in a four season career between 2007 and 2011.
He took up the reins after Kevin Blackwell was sacked just three games into the 2010-11 season, becoming manager in August 2010 but leaving in December of the same year after being scouted for the Wales job.