The Bannockburn man has embarked on a gruelling 520 kilometre walk from Mildura to his home town in Victoria's south-west, about 22 kilometres from Geelong.

The walk will take him along the Sunraysia Highway, through Donald, St Arnaud and Avoca.

Mr McKenzie knows better than most the effect depression can have on an individual.

The now 40 year-old battled the condition for about 20 years, starting in his mid-teens.

He said there was no one event or situation which triggered his depression.

"I've had a good life - good family and I've always had good jobs," Mr McKenzie said.

"But it doesn't discriminate, it can strike anybody, nobody is immune.

"And sometimes there is just nothing you can do to wave it off - if it's going to get you, it will get you."

Mr McKenzie, who has been on the road for three days, used the example of Sydney Swans star Lance Franklin to demonstrate how anybody was vulnerable to mental health issues.

He hoped his walk would encourage people, especially men, to openly talk about it.

"In a lot of communities there's a real stigma around depression and talking about it, which is ridiculous," Mr McKenzie said.

"About seven Australians suicide each day, making it the largest killer of people aged between 15 and 44.

"By the time we've been out walking, we've lost about 21 people to suicide."

Mr McKenzie aims to raise $10,000 for the Black Dog Institute, a non-profit organisation and world leader in the diagnosis , treatement and prevention of mood disorders such as depression and bipolar disorder.

He is confident of eclipsing that target, with about $9000 raised before he had stepped one foot on his pilgrimage down the Calder and Sunraysia highways.

Mr McKenzie said the inspiration for his walk had come from his daughter Eliza.

"I used to live in Mildura and we (the family) were up here at Christmas time," he said.

"We were walking to the pub when Eliza asked me how long it would take to walk back to Bannockburn.

"By the time we got to the pub I decided I'd do it - and I hadn't even had a drink at that stage."

Mr McKenzie was halfway between Ouyen and Tempy when he spoke to the Bendigo Advertiser on Tuesday afternoon.

He was joined on leg three of the walk by good mate Craig Spiller. 

Mr McKenzie hoped to reach Lascelles on Wednesday night and would be in Donald about Saturday.

For more information on the walk or to donate, visit http://personalchallenge.gofundraise.com.au/page/BMcKenzie

You can also follow Brad's progress at: www.facebook.com/Bradswalk?pnref=story