The Welsh sports star, who met the Russian performer on the BBC One show last year, revealed that the pair are still an "item".
"Yes, it's true, Kristina and I are an item and it's going really well between us," he told The Mirror. "Strictly is the best thing I have ever done because I met Kristina and that is more important to me than winning it.
"She's a wonderful teacher, she's lovely and she makes me laugh."
Calzaghe also claimed that the 32-year-old dancer's nickname for him is Mr Muscle.
"She is very complimentary about my figure. I've got defined arms and I know that she likes to hang on to them," he said.
"When she finishes [the Strictly tour] at the end of February, we'll probably go away for a holiday. We had such a great time in Rome [after exiting [Strictly], it will be lovely to have another break like that."