The Good Morning Britain host told viewers he is doing everything he can to catch a mouse that had moved into the couple's bedroom, causing Finnigan, 74, to movie out.
Madeley, 66, said: "Judy is now sleeping in the spare room because we have got this mouse in the bedroom now.
"It comes out from the bed at about 11pm every night on the dot, virtually to the second.
"I've set traps and I have put poison boxes out and a lot of people are saying peanut butter. But I have tried peanut butter and it stinks, and it has not drawn it out."
Madeley and Finnigan have been married since 1986.
The pair presented This Morning together from 1988 until 2001 and then went on to host their own Channel 4 show, Richard & Judy, until 2009.
Finnigan has now retired from the spotlight and writes novels.
Madeley said in 2022 that his wife had never really enjoyed being a TV presenter.
He said: "I always say this about Judy, in my mind, she was probably the best female TV presenter of her generation – amazing.
"But she never really enjoyed it that much.
"She enjoyed the job, the process, but all the rubbish that comes along with it, being in the papers… She never enjoyed that.
"She doesn’t miss it at all."
Madeley already has a grandson Kit, born in 2018 to son Jack and his wife Issy. And Finnigan has twin sons from her first marriage and already has two granddaughters aged nine and four.
Watch: Richard and Judy discuss their family life