Pendleton, 37, was on course to reach the summit during a climb with TV presenter Ben Fogle, but had to cut the trip short on doctors’ advice.
She said since she returned to the UK in May she has been fighting depression, and confessed the trip left her feeling “overwhelmed”.
She told Radio Times magazine: “I’ve been suffering with depression since I got back from Everest.
“I feel psychologically and physiologically damaged.
“It’s really put me through the wringer, and that has been harder than any disappointment about not making it up to the summit.
“It’s like I’ve taken a real battering. I’ve never felt so overwhelmed with illness.”
Pendleton was forced to pull out after struggling with oxygen deficiency at 21,000ft. She said it gave her symptoms of “a horrific headache, like knitting needles sticking in the back of my skull”.
She added: “You act like you’re very marginally drunk, it’s not unpleasant, you’re not totally suffering, but signs of the onset of a cerebral edema are very subtle.
“You have to rely on others recognising it.”
Doctors in Britain have told her oxygen deprivation can trigger depression.
She said they have reassured her it’s a “normal thing” and that she will get past it.
Pendleton trained for 18 months to go on the Everest expedition which she undertook with Fogle, and mountaineer Kenton Cool, for the British Red Cross.
They aimed to show the environmental challenges mountains face, and their climb will feature in a three-part documentary on CNN.
After retiring from cycling, Pendleton became a jockey and finished fifth in the 2016 Foxhunter Chase at the Cheltenham Festival.