The 65-year-old former Olympian made the confession during her frank and honest interview with Vanity Fair as she made her debut as a woman.
While living as Bruce, Caitlyn was married to Chrystie Crownover before her high-profile relationship with Kris Jenner.
Caitlyn was with Chrystie from 1972 to 1981 and they found out they were expecting their first child while going through divorce.
Although insisting she rejected the idea of abortion after ’30 seconds’, Caitlyn told the magazine: “Under the circumstances I could not even see myself being there.”
Chrystie previously admitted that she almost went along with the termination – because Bruce wanted her to.
She told People magazine: “When I found out I was pregnant Bruce raised the issue of an abortion, and I went along with him just as I always did. I had all the tests and had even paid for the operation.”
But, after a conversation with a friend, Chrystie realised she didn’t want an abortion and chose to keep her baby.
Casey, 34, admitted she found out the shocking truth, and that her dad wasn’t even present for her birth, when she was just 13.
She said: “I never knew until I was about 13-years-old and we were arguing on the phone about money. He kept saying, ‘You don’t know the whole story’.”
Caitlyn also has daughter's Kendall, 19, and 17-year-old Kylie from his relationship with Kris.