The 32-year-old has been plagued by recent injury problems, rupturing his anterior cruciate ligament while on international duty for Brazil in October 2023.
He finally returned to the pitch for the first time in 369 days at the end of last month in what was only his sixth appearance for Al Hilal.
Neymar managed just 13 minutes in his comeback, before missing the club's next two matches as he's currently not registered to play domestic league games.
He is one of the highest paid players in the world, raking in a reported £138million-a-year in the Saudi Pro League.
The Netflix documentary Saudi Pro League: Kickoff details his recovery from injury hell.
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He said: "Some days when I wake up, I want to give up."
Neymar continued: "I admit, this injury is the one that shook me the most in my career.
"I was really sad, and very down mentally for the first month. I knew it was a serious and long-term injury.
"Being on the sidelines is tough. The beginning of an injury is quite complicated.
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"At the start, you only feel pain. I only felt the pain, I just wanted it to stop.
"I wanted to bend my knee as quickly as possible so that I could regain my movement and make the pain go away.
"If you don't have the people you love by your side, your family, your friends, then it can be difficult to come back from an injury like this. It really messes with your mind and your body.
"I'm not 20 anymore, I was 31 when it happened. I'm very grateful to have my friends and family around. To have my children who motivate me every day."
Neymar also spoke about becoming a father again, and said: "It was a mix of emotions. I was really happy and then I got injured.
"So you start thinking about a lot of different things, but the good thing was that I was able to be around her almost every day, which was good for me. It helped me and was a safe haven at the time."
His latest injury is expected to confine him to the treatment room for four to six weeks - after Al Hilal have gone on their winter hiatus.
The January transfer window will have opened by the time the Saudi football season resumes, which has sparked rumours that the league leaders will cut their losses on Neymar early.
His boyhood club Santos are said to be interested in bringing him back to Brazil.