The Loose Women panellist told the Metro that she wanted to try something "totally different".
She said: "The divorce was such a shock to me and I had days where I felt I couldn't do anything, then other days when I thought I could do anything at all - and one day I decided to do stand-up.
"It was therapy for about six months. I'd tell them things about the divorce as it was happening and I'd say, 'Isn't this ridiculous?' and when they'd say, 'Yes, it is', it made me feel less alone."
Millican also told the paper that she can see the funny side of both good and bad events.
"It's not as if I can only be funny if things are s**t," she added. "I'm lucky enough to have relatives who say inappropriate things to draw on.
"You can be funny and still be positive, that 'tears of a clown' thing is a load of rubbish."
The second leg of Millican's national tour Chatterbox starts later this month.