He is candid about his addiction to alcohol, drugs, sex and shoplifting and on his short stay in Dublin he went to a 12-step meeting at 7.30am.
The Emmy-winning actor also took part in a debate with Amnesty International's Colm O'Gorman to discuss the silence about mental health in Ireland.
"It was really cool. It became like a townhall meeting, in our sharing," he said.
"The tone of the talk was labels and how labelling can add to bigotry, shame and discrimination."
Joseph Peter Pantoliano played Ralph Cifaretto in The Sopranos and Cypher in the Matrix trilogy.
He said gangster programmes such as The Sopranos and Love/Hate allowed audiences to gain a little more understanding about 'baddies'.
It is an actor's job to understand everything about the development of a character's personality, he argues.
"Bad people are not born bad; people are made bad," he said.
"My first role on stage brought me to an insane asylum. I wanted to get inside the character and know what was going on with him.
"That is the best part of the job -- looking at the psychology and building the character from there."
Joe, who is often known as 'Joey Pants' because of the difficulty of pronouncing his surname, said that the realisation that he had a problems with mental health hit him suddenly.
The actor said that he began to learn more about mental health while making a movie.
"I began to believe that one character was reminding me of my mom -- snapping and mood swings," he explained.
"I went to the doctor for a check-up -- I told him, 'I feel really sluggish, I don't want to do nothing, I'm hungry but I can't eat, I'm tired, I feel like I'm walking through water'."
He said I needed to see a psychiatrist.
Joe has been in and out of different kinds of therapy from the age of 19.
"I had to find a group of people that kept me from being a monster," he explained.
"I had a mother who despised her own father. She came to believe that all men were the scum of the earth.
"I lived by that, I was her confidant until I became a man.
"I thought she didn't want to get better, I thought she was stubborn. I didn't realise she was powerless."
Joe's documentary No Kidding, Me Too will be screened at The Sugar Club tomorrow at 3pm.