Williams, 63, viewed the cancellation as a personal failure, reported TMZ online.
"Just before the show debuted, he said, 'My face is all over town on billboards and it's all on my back'," a source said.
"The cancellation after only one season sent Robin into a tailspin... It hit him hard and that's why he entered the Hazelden Addiction Treatment Center last month -- not for substance abuse, but for depression," the source added.
To make matters worse, Williams was increasingly depressed that he was older and good roles for him were few and far between.
"He would talk about Robert De Niro, saying even he was having a hard time," the source said.