Serena Williams Has Three Olympic Gold Medals — but Says This One Big Win Is Her Favorite

Serena Williams remembers her first time nabbing Olympic gold on her own, and it's one of her fondest memories from her three Games appearances.

She first made the U.S. Olympic team in 2000, for the Sydney Games, and won gold in doubles with sister Venus. They did that again at the 2008 Beijing Games, but it wasn't until 2012, at the London Games, that Williams got her coveted singles gold.

"I would have to say, one of my favorite memories was winning gold to be honest, my own gold medal," Williams, 39, tells PEOPLE, before adding that she's won "a few of them, but mostly in doubles. That was really fun."

But years before she took that top spot, Williams was studiously watching Olympic champions like U.S. track and field star Jackie Joyner-Kersee, who medaled at four different games in the 80s and 90s. The tennis star says that seeing Joyner-Kersee win in the heptathlon and long jump events was another favorite memory.

"One was my dad made us watch Jackie Joyner-Kersee. He recorded it back in the day and he always had us watch it, when we were training and watching films, so that was cool," Williams says.

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Williams has always made a point to support female athletes, and she's emphasizing that again now during the Tokyo Games, in partnership with Secret deodorant.

"Secret has always wanted to support [and] empower our girls and all women," she says. "In particular, when it comes to sport, we learned that girls drop out at two times the rate of young boys due to underfunding and also under-representation. So for us, it's really important."

Part of that support is recognizing the need to prioritize mental health, something Williams is well aware of as one of the world's most elite athletes and having dealt with the scrutiny and adoration that comes along with that status.

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"I feel like my parents taught me one way and that was just, before I even got into this platform, they told me all the things I was going to deal with. And in a way, it prepared me for a lot of stuff," she says.

To Williams, it's crucial for athletes to maintain their mental health, and she hopes that athletes show themselves some grace in while being in the public eye.

"You have to take care of your body and your mind," she says. "I mean, no one else is going to take care of it for you. So, you really have to be your best supporter. Because honestly, people, sometimes they're just looking for a thrill for that moment and the champion for that moment, and they really don't understand what's going on behind closed doors. You have to be your own champion and take care of yourself."

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And to the children who look up to Williams and all of her accolades and achievements, she has one piece of advice.

"Keep going," she says. "Never let anyone bring you down and keep doing what you do, just being the best."