"I’ve always been the different one. I mean, I’m a girl and I like being a girl, but I’ve just never been into it like they have," the 21-year-old model told the May issue of Harper's Bazaar for its cover story. "I think I get that from my dad. I’d say I’m more of a Jenner than a Kardashian."
As a kid, she said she was "a huge tomboy."
"I had a phase where I wore boys' clothes. I was always hanging out with guys," she said. "I've always connected with guys more."
Jenner has always been especially close to her dad, the Olympic champion known as Bruce Jenner before officially transitioning to Caitlyn Jenner in 2015.
Before Caitlyn came out to the family, Kendall recalled how she and her siblings would find clues -- a wig, nail polish -- around the house.
"It was like an investigation for a really long time," Jenner said. "We would find little things and think, 'This isn't normal.' For a minute, we were like, 'Okay, is he cheating?' And then we'd say, 'I don't think so.'"
Then, a year before Caitlyn made the transition official, Kendall accidentally stumbled into her in the middle of the night.
"My heart dropped," she said. "That's when she would dress as herself, at 4 in the morning, before we would get up. So that was like, 'Whoa,' for a second."
By the time Caitlyn told Kendall and her siblings that she was transitioning, Kendall said she already "kind of knew," but had been in denial.
"When she told us, and told us that it was going to be a real thing, it was an emotional couple of months," she told Harper's. "And if I would talk about it, I would cry, just because you're mourning someone ... losing someone. The person is still there, of course, but physically you're losing someone. It was my dad who I grew up with my whole life and who raised me."
She continued, "It's an adjustment, for sure. But honestly, you start to realize that this person is still alive. This person is still here. They are still a blessing. They are still awesome. I realized that I should just be thankful that I still have my dad. It starts to just become normal. You're just like, 'Okay, cool.'"
Today, the pair remain close.
"We have a special bond," Caitlyn told Harper's, "because she's a lot like me in so many ways. Hardworking. Athletic. She loves the car stuff. And I couldn't be more proud of her."