Researchers from Britain's Mental Health Foundation (MHF) studied over 1,000 people and discovered that many adults used alcohol to deal with feelings of stress, anxiety and depression, reported the online edition of the Daily Mail.
But they do not know that they are putting themselves at increased risk of depression, the study said.
Using alcohol to deal with anxiety and depression doesn't work as alcohol can weaken the neurotransmitters that the brain needs to reduce anxiety and depressive thoughts, they said.
Excessive drinking increases vulnerability to a range of mental health problems - because regular drinking changes the chemistry of the brain.
The foundation believes that health warnings should be introduced on packaging for alcoholic drinks, with the warning: "Excessive use of alcohol can damage your mental health."