The Olympics and Paralympics presenter launched her new memoir My Animals and Other Family last week, where she discusses her childhood, her experiences as an amateur jockey and how coming out affected both her career and her personal life.
Speaking to The Times, Balding said that she hadn't realised she was gay until well into her twenties, after she had already begun her broadcasting career at BBC Radio 5 Live.
She said that while she now feels "liberated" by being open about her sexuality, at that time she felt differently, saying: "When I went to 5 Live, I hadn't had my first girlfriend yet, so I was doing what I thought I was meant to do, which was kiss all the boys.
"Then you stop kissing all the boys and they wonder why. It was a difficult time. My career was taking off and I was coming to terms with my sexuality... I was terrified. Terrified."
She continued: "Lots of women don't realise that they're gay until they're grown up... to go down the motorway and get off at a junction that isn't marked, or to go against the traffic, is a difficult thing to do and I didn't have much of a clue."
The 41-year-old said she wasn't sure whether being gay has affected her career in the past, but thinks that by now it has "certainly" stopped being an issue.
Balding was widely praised for her presenting on the BBC for the London 2012 Olympic games, and followed it up with equally-lauded Paralympic coverage on Channel 4.