"I've been a fan of Hillary's for a long time," the transgender activist tells PEOPLE exclusively. "I think she's doing amazing work."
Cayne, who is officially endorsing Clinton for president, cites the Democratic candidate's record on women's rights and LGBT issues as part of the reason for her support. The actress, 44, says if Clinton is elected, "she's going to push for rights for trans people" and "that's a really big thing."
Alexander Tamargo / Getty; Earl Gibson III / Getty
The endorsement comes ahead of Sunday's episode of I Am Cait, which sees Cayne, Caitlyn Jenner and their friends get into a heated debate about politics as they continue their cross-country bus tour of America.
Cayne says that different opinions in the bus reminds her of the political landscape in the U.S.
"We have Caitlyn who is conservative. We have me and a bunch of the other girls who are very liberal, and it starts off with a big fight, but I feel like we have to learn how to talk and communicate with each other or nothing will ever get done," says Cayne.
Cayne is disappointed with the Republican party, saying they have blocked President Barack Obama from achieving goals that would have benefited Americans.
"We really need to work together and I get into it with Cait – some of the other girls do too – and we just start to talk," says Cayne. "We start with fireworks and then it turns into an actual conversation about what each other believes and how we can make a difference in this world."
Jenner, who previously said she likes Republican presidential candidate Ted Cruz, says she "would never, ever, ever vote for Hillary," when asked who she prefers between Donald Trump and Clinton in the upcoming episode of I Am Cait.
As for how Cayne and Jenner's different political views affect their friendship, Cayne says they get along just fine.
"Politics play a big part in my life ... but I am adult enough to be able to put that aside and really enjoy who Caitlyn is," says Cayne.
The pair are able to talk politics but then "put that on the back-burner" and discuss things like "life and travel and everything else."
Regardless of her friends' political views, Cayne says Clinton is "the woman for the job."
"When I met her, she was so open to who I was as a human being that it kind of validated my choice," says Cayne.
I Am Cait airs Sundays (9 p.m. ET) on E!