Jon Hamm has been trying to ''deal with'' what life has ''thrown'' at him.

The 'Mad Men' star - who is in a long-term relationship with Jennifer Westfeldt - recently completed a 30-day stint at the Silver Hill Hospital in New Canaan, Connecticut, to be treated for alcohol addiction and he feels ''very fortunate'' to have the support of his friends and family.

He told Australia's TV Week: ''Life throws a lot at you sometimes, and you have to deal with it as much as you can.

''I've been very fortunate that throughout the most recent 24-hour period, I've had a lot of family and friends support me.''

Jon refused to address comparisons between his life and troubled 'Mad Men' alter ego Don Draper, saying only work could be a ''challenge''.

He said: ''Obviously there can be a lot of discussion about how much of this is related to that, and honestly I don't have much to say about that either.

''I've said in varying ways that acting can be a difficult endeavour, certainly not as difficult as the recent example I used of being a baby heart surgeon. But it does present its own challenges, and so does life.''

The 44-year-old actor has appealed for privacy around his problems.

He added: ''I understand it constitutes news these days, but it's between me and my family and not something for public consumption.''

A spokesperson for the star confirmed earlier this week that Jon had been in rehab.

Jon previously admitted he battled depression after his father died when he was 20.

He said in 2010: ''I was ... unmoored by that. I struggled with chronic depression. I was in bad shape.

''I did do therapy and antidepressants for a brief period, which helped me. Which is what therapy does: It gives you another perspective when you are so lost in your own spiral. It helps. And honestly? Antidepressants help!

''You can change your brain chemistry enough to think: 'I want to get up in the morning; I don't want to sleep until four in the afternoon. I want to get up and ... go to work and ...' Reset the auto-meter, kick-start the engine!''