Test cricket's leading wicket-taker told a television interviewer he was embarrassed by the affair in 2003 and fled to Spain with his wife to escape the media spotlight.
"It's not easy to talk about, it was quite a tough time in my life, it was something that I thought was personal between my wife and I," Warne told the Nine network program 60 Minutes on Sunday.
"I did the wrong thing and that's something I have to live with and it's not easy to live with, because I'm embarrassed about what I did."
Faced with intense media scrutiny after news of the affair dominated the headlines, the Warnes fled the country.
"We were angry about the 50 (media) people outside our house, we couldn't get out of the driveway," he said.
"It was the wrong environment to try and talk and so we couldn't really talk. We had to get out of the country, we ended up going to Spain."
Warne said that with a loving and forgiving wife along with beautiful children, the family overcame the crisis and were now solid. He said his wife Simone had conducted herself with dignity throughout the saga.
Warne's success on the field has been balanced by a succession of lurid headlines as he made news for all the wrong reasons. He recently travelled to tsunami-ravaged Sri Lanka, a move seen by some as an attempt to shed his poor off-field image.
In 1995 Warne was fined along with team-mate Mark Waugh for his alleged involvement with an Indian bookmaker.
While playing for English County Hampshire in 2000, a British tabloid told of how Warne had left "dirty messages" on the answerphone of a nurse he had met in a Leicester nightclub.
South African woman Helen Cohen Alon also claimed in August 2003 that she was offered $28,000 by an associate of Warne to keep quiet about their relationship in a series of threatening phone calls and text messages.
Warne hit rock-bottom after being given a 12-month suspension for taking a banned diuretic just before the 2003 World Cup.
He returned to international cricket last March and has subsequently become Test cricket's leading wicket-taker ahead of Sri Lankan spin rival Muttiah Muralitharan.