"I've thought about this a million times in my head - that I've wanted to reach out to them and just give them a big hug and say sorry and I hope they're okay, I really do ... I hope they get through this."
She added: "I haven't stopped thinking about it since it happened. I remember my first question was, 'Was she a mother?"'
The two hosts also appeared last night on Channel Seven's Today Tonight show.
Christian said he was "shattered, gutted, heartbroken".
Greig said: "It doesn't seem real because you just couldn't foresee something like that happening from a prank call. You know it was never meant to go that far. It was meant to be a silly little prank that so many people have done before. This wasn't meant to happen."
Christian told A Current Affair how the prank arose.
"It was just the team sitting down before the show ... [we] just had the idea for just a simple, harmless phone call. That we thought about making a call; it was going to go for 30 seconds, we were going to be hung up on, and that was it. As innocent as that."
Greig added: "We thought a hundred people before us would have tried it, we thought it was such a silly idea and the accents were terrible and not for a second did we expect to speak to Kate, let alone have a conversation with anyone at the hospital. We wanted to be hung up on.
She explained: "I still expected them to put us through to some kind of complaints area, that she would have realised from that point and we were going to be transferred and be told off and hung up on - didn't expect to get through to anyone at any stage.
"These prank calls are made every day, on every radio station, in every country around the world and they have been for a long time and no one could've imagined this to happen."
Several Twitter users asked Grimshaw whether the hosts were paid for their appearance, to which she replied: "Let me say clearly that our interview with the 2DayFM hosts for tonight's A Current Affair was NOT paid for. Neither asked nor offered."
She added: "Oh please, can we not compound the tragic death of Jacintha Saldanha by bullying the two young radio hosts. Wise heads needed now."
Grimshaw said after the pre-recorded interview that she felt sympathy for the pair.
"They're at a certain point on the food chain. There are other people who made the decision to put it to air. It wasn't live to air, there was a decision made after that prank call was recorded to put it to air, and virtually all the focus has been on them. So I have some sympathy for them in that regard."
The interview was "very intense", with radio station staff and supporters also in the room, she said.
"What has happened with this poor nurse in England is not going to be helped by bullying these two people into some sort of breakdown. I was very mindful that anyone in their situation would be fragile, and very mindful of not becoming part of the problem."
Directors of the company that owns the station, Southern Cross Austereo, met on Sunday and were understood to have discussed a stinging letter from the hospital where Mrs Saldanha worked.
Hospital chairman Lord Glenarthur had told the firm: "... it was extremely foolish of your presenters even to consider trying to lie their way through to one of our patients, let alone actually make the call."
The DJs have received counselling, having faced a barrage of abuse via social media.
Read more: Radio bosses insist they tried to check before broadcast
- AAP, staff reporter