The Countryfile star confessed she revealed she burst into tears on the dancefloor and wanted to get away.
Skelton, 39, revealed on her BBC Radio 5 Live show “I had a little cry. I’m normally cool, calm and collected.
“I got on the dancefloor and they said, ‘When the audience come in...’ and I went, ‘Oh crikey, yeah, there’s people. I was like, ‘There’s a fire door, there, I can get out of it,’ and I did."
She went on: "And Gorka [Marquez, her dance partner] found me and said, ‘What are you doing?’ I said, ‘Just having a minute.’
Watch: Who is Strictly's Helen Skelton?
"I literally ran. It was like when I did Celeb SAS, I tried to escape that.”
Skelton took part in survival show Celebrity SAS: Who Dares Wins in 2020.
The former Blue Peter presenter revealed she feels uncomfortable on the BBC dance show and felt all her personal space had been stripped away from her.
Skelton said: “I don’t want to sound ungrateful, but it’s very weird. Personal space? You wave goodbye to that. Boundaries are non-existent. You walk in and they go, ‘Do you want a fake tan?’ Before you know it you’re naked with a load of people spraying you.”
The TV and radio presenter performed an American Smooth to You Send Me by Aretha Franklin for her first dance, and was placed 6th on the leader board with a score of 26.
She is the bookmakers favourite to win the show.
Skelton announced in April she had split from her husband, just four months after the birth of their third child.
She married English rugby league player Richie Myler in December 2013.
They are parents to sons Ernie, seven, Louis, five, and nine-month-old daughter Elsie Kate.