The former Liverpool and England star said that it was "bizarre" to be working on a programme with comics such as James Corden and John Bishop.
"I'm loving it, but it is nerve-wracking," he told Sky. "There are such great comedians involved, and I love Gavin & Stacey so doing a TV show with James feels quite bizarre. He's so much fun.
"I think the key is to try to have a bit of fun, but to remember that we're not comedians and can't compete with the professionals. Freddie Flintoff hits sixes for fun, but John Bishop couldn't. You have to be realistic about it. I tried to be funny in the first show, but I don't think it went down too well."
Redknapp and Bishop will star alongside Andrew Flintoff and Georgie Thompson as regular panelists on the series, which airs on Thursdays at 9pm on Sky One.