Ardern also expressed concerns about bringing up a child in the public eye.
"I have chosen a career in politics... but my family, my partner, they haven't," she said.
"I have no doubt I will feel that emotion for my child as well, and probably feel quite protective of them, but equally there is only so much we can do.
"We live in the public eye and we accept that is one of the consequences of the job I am lucky to have."
Ardern said she was grateful to have a partner who was able to be "flexible with his work" and play the role of a stay at home father.
"I am very quick to point out that I couldn't do the role that I am doing without the role he is playing.
"I am very grateful for that and feel very privileged that we are in a position that he can be flexible with his work and play that role – a lot of families don't have that privilege."
McKinnon pointed out that Ardern's six-weeks of campaigning and becoming Prime Minister were "incredibly dramatic", and asked whether Ardern was "as stunned as everyone else".
"You say dramatic, I say traumatising," Ardern laughed.
She said her pregnancy was a shock to the couple, not only due to its timing but also because of prior complications.
"I found out when I was in the middle of coalition negotiations, so here we were trying to form a government and this news – which I should give some context – surprised me because we had been given a bit of feedback that Clarke and I would struggle to have kids on our own," she said.
"So that in itself was pretty mind-blowing, but I had this other task that so many other people were totally reliant on me to complete, so I just pushed it to the side and focused on that and hoped that we would be lucky enough to have a healthy early pregnancy.
"I didn't feel healthy, but for all intents and purposes it was, and then it just came to hoping and willing that the New Zealand public would be happy for us and see that I hadn't lost the sense of responsibility and the priority that I placed on my job as well."
Ardern said she was pleasantly surprised by the reaction she got from the nation.
"I was ready for it to be harsher than it was, so I was really surprised and happy."
She finished the interview by given some advice to young women.
"Generally I have noticed this tendency, and I don't know if it is the same in Australia, but we constantly tend to wait for ourselves to feel like we tick every box and we have 100 per cent confidence in our ability to do challenging roles that throw up new and different challenges every single day.
"Rather than accepting that these are roles that often you grow into and you build skills and confidence around, so take risks even if it means being forced unexpectedly to, often pays off," she said.