"My incredibly masculine, fun, jocular husband came to me one day and with a very somber look on his face he said: 'I need to tell you something about myself,'" she recalled to Inside Edition. "I thought he was going to tell me that he had an affair on the road. He told me: 'I identify as a woman. I am a woman trapped in a man's body.' I was like 'Whoa! Whoa! Wait, look in the mirror.'"
See images of Caitlyn Jenner:
BEVERLY HILLS, CA - FEBRUARY 28: Caitlyn Jenner attends the 2016 Vanity Fair Oscar Party Hosted By Graydon Carter at Wallis Annenberg Center for the Performing Arts on February 28, 2016 in Beverly Hills, California. (Photo by Karwai Tang/WireImage)
NEW YORK, NY - FEBRUARY 11: Caitlyn Jenner attends Kanye West Yeezy Season 3 at Madison Square Garden on February 11, 2016 in New York City. (Photo by Kevin Mazur/Getty Images for Yeezy Season 3)
RANCHO PALOS VERDES, CA - FEBRUARY 02: Caitlyn Jenner attends AOL MAKERS Conference at Terranea Resort on February 2, 2016 in Rancho Palos Verdes, California. (Photo by Jerod Harris/WireImage)
RANCHO PALOS VERDES, CA - FEBRUARY 01: Caitlyn Jenner attends the AOL MAKERS Conference at Terranea Resort on February 1, 2016 in Rancho Palos Verdes, California. (Photo by Jerod Harris/WireImage)
PASADENA, CA - JANUARY 14: Tv personality Candis Cayne (L) and executive producer/tv personality Caitlyn Jenner speak onstage during the 'I Am Cait' panel discussion at the NBCUniversal portion of the 2016 Winter TCA Tour at Langham Hotel on January 14, 2016 in Pasadena, California. (Photo by Frederick M. Brown/Getty Images)
LOS ANGELES, CA - JANUARY 04: (Photo by Steve Granitz/WireImage)
NEW YORK, NY - NOVEMBER 10: Caitlyn Jenner attends the 2015 Victoria's Secret Fashion Show at Lexington Avenue Armory on November 10, 2015 in New York City. (Photo by Dimitrios Kambouris/Getty Images for Victoria's Secret)
NEW YORK, NY - NOVEMBER 09: Caitlyn Jenner poses for a photo at the backstage inspiration wall at the 2015 Glamour Women of the Year Awards at Carnegie Hall on November 9, 2015 in New York City. (Photo by Nicholas Hunt/Getty Images for Glamour)
LOS ANGELES, CA - OCTOBER 27: Caitlyn Jenner attends Logo TV's 'Beautiful As I Want To Be' web series launch party at The Standard Hotel on October 27, 2015 in Los Angeles, California. (Photo by Tibrina Hobson/Getty Images)
PACIFIC PALISADES, CA - SEPTEMBER 12: Caitlyn Jenner attends the 8th Annual Safety Harbor Kids Polo Classic Fundraiser at Will Rogers State Historic Park on September 12, 2015 in Pacific Palisades, California. (Photo by Michael Bezjian/Getty Images)
LOS ANGELES, CA - JULY 15: (EXCLUSIVE COVERAGE) Caitlyn Jenner attends The 2015 ESPYS at Microsoft Theater on July 15, 2015 in Los Angeles, California. (Photo by Kevin Mazur/WireImage)
NEW YORK, NY - JUNE 30: Caitlyn Jenner is seen on June 30, 2015 in New York City. (Photo by NCP/Star Max/GC Images)
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She says the couple tried therapy but ultimately decided to divorce in 1986.
She recalled: "I just said: 'I love you. I'll be here for you, but I didn't marry a woman, I married a man.'"
Both found love again. She married Grammy-winning music producer David Foster, whom she later divorced in 2005. Jenner married Kris Kardashian in 1991, divorcing in 2015.
Thompson said she did not believe it was right to tell the Kardashian matriarch about Jenner's confession.
"That is not my place to tell anyone someone else's secret that they had told me in confidence," she said.
The Tennessee native opens up about her life with Jenner, among other famous faces, in her new memoir, A Little Thing Called Life.
In the book, she reveals that she first laid eyes on the decathlete during the Montreal Olympics that made Jenner famous, while she was dating Elvis Presley.
"Elvis and I were watching the summer Olympics, July 26, 1976," Thompson recalled to Inside Edition. "[Jenner] was dominating the decathlon. Elvis turned to me and said: 'That guy looks good.' I said: 'I'm going to marry that man one day.'"
Over the years, Thompson said Jenner's personality has stayed the same.
"She's still the same person. Same likes, dislikes, same impulses, loves to fly, pilot. Still a very athletic woman," Thompson said.