The 24-year-old, who is widely recognized as the greatest gymnast of all time, also said she was "not having as much fun" at the Summer Olympics in Tokyo.
"I don’t really know how to cope with that pressure," the four-time Grand Slam winner said.
The tennis superstar lost to Marketa Vondrousova of the Czech Republic.
The superstar took a mental health break after withdrawing from the French Open.
The 23-year-old four-time Grand Slam champion, who is representing Japan, lit the cauldron that will stay illuminated for the entirety of the Games.
Osaka’s first match in nearly two months will come against 52nd-ranked Zheng Saisai of China in the opening round of the Olympic tennis tournament.
"Well, first of all, we did that shoot back in December of 2020,” MJ Day said in response to the former Fox News host's attacks. "Let her live," she added.
The tennis champion reminded the former Fox News host to "do better," according to screenshots of a since-deleted tweet.
"It's extremely important, probably more so than ever because of this pandemic," McEnroe said of how outspoken Osaka has been about her mental health.
The documentary follows the tennis star through a period of enormous transformation and finding her voice.