Thorpe, who had long denied that he was gay, told British talk show host Michael Parkinson in an interview broadcast on Australia's Channel 10 that he just recently realized the truth about himself.
"I'm not straight," Thorpe said. "And this is only something that very recently — we're talking in the past two weeks — I've been comfortable telling the closest people around me exactly that."
For years, Thorpe took great pains to hide his sexuality. In his 2012 autobiography, "This Is Me," Thorpe wrote, "For the record, I am not gay and all of my sexual experiences have been straight. I'm attracted to women, I love children, and aspire to have a family one day."
Thorpe, 31, said being asked about his sexuality by journalists when he was just a teenager forced him to adopt a defensive attitude toward the issue. He was too young to know whether he was gay or straight, and said he responded that he was straight to avoid teasing from classmates. Things spiraled from there.
"I felt the lie had become so big that I didn't want people to question my integrity," he said. "And a little bit of ego comes into this; I didn't want people to question ... have I lied about everything?"
Now, he says, he wishes he had come out sooner.
"I'm comfortable saying I'm a gay man," he said. "And I don't want young people to feel the same way that I did. You can grow up, you can be comfortable and you can be gay."
Part of his reluctance to come out, he said, was fear of letting his family and his fans down.
"I wanted to make my family proud. I wanted to make my nation proud of me. And part of me didn't know if Australia wanted its champion to be gay," he said. "But I'm telling not only Australia, but I'm telling the world, that I am."
Thorpe added that he is looking forward to living his life openly, without the burden of carrying a secret. He wants to find a partner, he said, and start a family.
Thorpe retired from swimming in 2012 after winning five Olympic gold medals, three silvers, and one bronze, and setting 22 world records.
Known to fans as "the Thorpedo," he was just 14 when he was first chosen to represent Australia, and became swimming's youngest world champion at that age when he won the 400-meter freestyle at the 1998 worlds in Perth.
His career peaked at the 2000 Sydney Olympics where he won three gold and two silver medals. He retired after the 2004 Athens Olympics, citing a lack of motivation, but made an unsuccessful comeback when he tried to qualify for the 2012 London Games.
In the interview, Thorpe also spoke at length about the often crippling depression he has struggled with since he was a teenager, which led him at one point to contemplate suicide. When antidepressants failed to help, he said, he turned to alcohol to ease his pain.
"I kind of felt that it was unfair, that I was doing the right thing, taking the antidepressant, and I'm still miserable," he said. "So I tried drinking."
"How hard?" Parkinson asked.
"Well, I didn't have to try that hard," Thorpe responded with a laugh.
Meanwhile, Thorpe said he is still struggling with a broken shoulder. He contracted a serious infection when he underwent surgery earlier this year and said he still faces the prospect of more operations.
"I have to be realistic with my expectations, that I may not be able to lift my arm above my head, which would mean that I may never swim again," he said. "It's tough. Because I want to be able to swim."