The Olympic gold medal-winning cyclist revealed that she has lost around 9lbs in muscle weight during her time on the show so far.
Having previously gone to the gym on a regular basis for several years to make her thighs strong for her sport, she explained that she is "upset" over feeling so unfit.
"I can't go to the gym and so I feel out of shape," she told New magazine.
"I've lost a lot of muscle mass. I've been going to the gym three times a week for 15 years and lifting heavy weights and now I haven't got time to do that.
"I can't maintain the body I had as an athlete. It upsets me. I feel very sad and I can't wait to have the time to go back in the gym and do something about it because it does make me feel quite depressed."
She added: "When I look down at my legs now I feel very sad about it.
"I put in all those hours to get them bigger and now they're shrinking in front of my eyes. It honestly makes me feel very depressed.
"I feel the most unfit I've felt in my entire life."
Pendleton previously spoke about her concerns over her thigh size in early October.
The athlete remains in the competition with professional dance partner Brendan Cole.
Strictly Come Dancing continues next Saturday (November 10) at 6.30pm on BBC One.