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Sarah Owen, 29, said in an interview with UK Grazia magazine: "Aged 18, she tried to slit her wrists when her first relationship ended and she ended up in The Priory rehab clinic for four weeks.
"I had a big gang of friends but Lily was more of a loner. She had no-one to talk to about getting her first period or breaking up with her first boyfriend.
"Would it have been different if we'd been closer? Probably."
Sarah - who shares the same mother, Alison Owen, as Lily, but has a different father to Lily's dad, comic Keith Allen - admits her relationship with her sibling has been tumultuous, especially when they were growing up together.
She added: "My relationship with Lily back then was strained - I was a crazy teenager, and that must have affected Lily.
"As you know, she's naturally outspoken but, because I was I was the loud one at home, she became disruptive at school - and ended up being at about 13 different ones."
Sarah is the subject of the track 'Back to the Start' on Lily's new album 'It's Not Me, It's You', which is released on February 9.