"The depression that was slowly devouring me at last consumed me," said the note, posted by fellow singer Nine.
Jonghyun, 27, was found dead on Monday in a suspected suicide.
He was the lead singer of one of South Korea's biggest pop groups Shinee. His death has triggered an outpouring of grief from fans around the world.
On Tuesday, Nine, a member of another pop group Dear Cloud, shared on Instagram the note she said Jonghyun had sent to her, with instructions to make it public if he "disappeared from the world".