The fomer Olympian said it was a tough transition for him and he was always worried about his children.
"You know what? It's going to be tough. I've been thinking about this day forever and what I should do with my life. How do I tell my story? How do I tell people what I've been through? And that day is sad," Jenner said.
"For all intents and purposes, I am a woman," Jenner said.
The 65-year-old said he has "always been very confused with my gender identity since I was this big."
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"Are you telling me I'm going to go through a complete gender change... For publicity?" He continued: "What I'm doing is going to do some good and we're going to change the world.
"My whole life has been getting me ready for this. It's not just the last few years. I just can't pull the curtain any longer," Jenner said after Sawyer brought up his time on Keeping Up With the Kardashians.
When asked about third wife, Kris, Jenner said, "I loved Kris. I had a wonderful life with her. I learned a lot from her."
Sawyer asked about how each of his children reacted to the news and Jenner explained that "those are the only ones I'm concerned with. I can't let myself hurt them. I'm dad. You can call me dad. I will always be your dad.