Speaking to E!, the Country Strong actress revealed that the arrival of she and husband Chris Martin's second child in 2006 was not initially a joyous experience.
"You don't want anybody to know that you're depressed or crying all the time," she said.
The star continued: "There's this shame that we bring to it and it's incredibly debilitating and scary and you just don't feel like yourself."
Paltrow and Martin are also the parents to 6-year-old daughter Apple.
The actress previously lamented that it was "strange" to have dated Brad Pitt and Ben Affleck before she married the Coldplay singer.