Retton said she and her husband of 27 years, former football player Shannon Kelley, divorced in February.
"I went through a divorce. People don't know that," Retton told her pro dancing partner Sasha Farber. "It's the first time I've actually said it publicly."
The retired Olympic gold medal-winning gymnast said it hasn't been easy.
"It was hard," she said. "I felt very alone."
Retton also spoke out on what led to the split.
"It's something that had really needed to happen for a long time," she said. "We still love one another, but we weren't great together anymore."
She hailed their four daughters, Shayla, 23, McKenna, 21, Skyla, 18, and Emma, 16, for their support.
"They love me unconditionally," Retton said.
The athlete was eliminated from the show, but said participating has helped her post-divorce.
"When I walked in here, I knew I was starting over, and I was scared," Retton said. "But now, I know I'm starting over, but I'm excited. There's that mental switch."
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