The former footballer, 55, beat the likes of boxer Nicola Adams and Gogglebox star Scarlett Moffatt to win the Channel 4 series.
He said being crowned the champion after 180 hours of pitch darkness in the bunker had given him his smile back.
“People always question my mental strength but my success on this series proves that I am strong,” he said.
“I was nervous going in there but having got this far on the series made me the happiest man around. I’m so happy. It’s unbelievable.
"I’ve got my smile back. I’m a better person.
"I got electrocuted and got shot with a cannonball in the b*******. I f****** fell backwards. I thought I was 50 foot up in the air and I went through all that.
“So to come out the other side and to be smiling, is such an amazing achievement and to win it is like the most unbelievable feeling, it’s just fantastic.”
Gascoigne said while he was honoured to have won, the other Scared Of The Dark contestants were all winners in his eyes.
“They all did really well and I really enjoyed spending those eight days getting to know them in the dark,” he said.
“We worked so well as a team.”
Gascoigne’s fellow contestants congratulated him on his win, with actor Donna Preston saying he “needs to be really proud of himself”.
Love Island’s Chloe Burrows said: “The way that he has been so open about his emotion and talking about you know his mental health, I feel like that’s probably the most remarkable thing that’s happened.”
“Paul you got my vote buddy,” added Adams.
Hosted by Danny Dyer, the series saw Gascoigne, Preston, Burrows, Adams, Moffatt, Chris McCausland and The Wanted's Max George living in the dark in a bunker for days.
If they wanted to leave they just had to say, "I'm scared of the dark".
Chris Eubank was also a contestant but quit the show early.
The final episode of Scared Of The Dark airs tonight at 9pm on Channel 4. Catch up on all five episodes via All4.
Watch: Paul Gascoigne weeps on Good Morning Britain