The 41-year-old mother-of-five appeared on the Channel 4 reality show in an explosive launch episode which saw her flash a nipple and have water thrown in her face by ex-forces instructors.
Asked by chief instructor Ant Middleton what she was doing there Price said: “I'm not here for sympathy, I'm just saying, I have been through a lot of s**t and I'm still going through it.
“I don't even know where to start. My fifth kidnap threat happened two weeks ago. Then my mum being told she was terminally ill last year.
“Then my horse escaped on my front road and died in my hands. My dog got run over in my driveway.
“Then held at gunpoint in South Africa with my kids. That's the first time I've ever had a proper gun to my head thinking we're going to die. F**king horrific.”
Team member Ollie Ollerton observeded: “What shocks me the most about that is the way you just told that story, without any emotion.”
Price replied: “Because that's the only way I deal with it. I have to be the strong one. What can I do? When I got told my son was blind, what was I going to do? Just sit in the corner and cry? You can't!
“You've got to get on with life. You've got to deal with it!”
Later in the episodem the former glamour model flashed a nipple on camera when she was ordered to change out of wet clothes.
She was told to “Shut the f**k up” for coughing and had water thrown in her face for not listening to orders.
Price - who last year split from fiancé Kris Boyson and was declared bankrupt - is believed to have quit the show just two days into filming.
She has said that she was not physically or mentally fit enough to take part in the show.
The reality star has spoken out in the past about being the target of kidnap plots by criminal gangs, including one which threatened her son Harvey in a bid to extort £50,000 from her. Her car was hijacked in March 2018 during a family holiday to South Africa.
Celebrity SAS: Who Dares Wins continues on Channel 4 on Monday, April 27th at 9pm.