Former Prime Minister Julia Gillard is heralding the launch of a free coaching program in her hometown of Adelaide that aims to help people tackle early stage depression and anxiety.

Mental health organisation beyondblue says its NewAccess program allows people experiencing moderate depression or anxiety to access six sessions with a qualified mental health coach for free.

It is open to anyone aged 16 or above, without a referral from a doctor, with the coaching sessions conducted in person or over the phone.

Ms Gillard will spruik the initiative in Adelaide on Thursday as a member of beyondblue's board and says it is an innovative way of treating mental illness.

"NewAccess is a new approach to mental health treatment, a coaching service, that's easy to access and offers people support before they hit crisis point," she said.

The program has already been trialled in Adelaide, as well as in the ACT and on the NSW north coast, with results showing 67.5 per cent of people who successfully completed it have recovered.

It will now be rolled out in Adelaide with funding provided by ReturnToWorkSA and Rally HomeCare.

Data from the most recent Australian Health Survey in 2011/12 showed nearly 12 per cent of South Australians have reported a mental health issue.

Australian readers seeking support and information about depression can contact the Depression Helpline (from 8am to midnight) on 0800 111 757