At the age of 8 or 9, he told Diane Sawyer in Friday's 20/20 special, he felt the desire to try on a dress, so he went into his mother or sister's closet.
"At that time, I didn't know why I was doing it, besides it just made me feel good," said Jenner, 65.
He started sneaking out of the house in his sister's dress, covering his head with his mother's scarf.
Jenner was "a very lonely boy," he said, adding "I'm still a lonely big boy."
"I look at women and I think, 'Oh my God, how lucky are they to wake up in the morning and be themselves," he said. "But me, I'm stuck in the middle."
Despite his transition, Jenner said he is still attracted to women.
"No, I'm not gay. I am as far as I know, heterosexual," he said. "I've never been with a guy, I've always been married, raising kids."
So, Sawyer asked, is she a lesbian?
"You're going back to the sex thing, and it's apples and oranges," said Jenner, who has been married three times. "Sexuality is who you are personally attracted to. But gender identity is who you are as a person and your soul and who you identify as inside."