The TV presenter, who has interviewed Kate and Gerry McCann several times, said she keeps the missing girl’s parents in her thoughts and the ‘cruel’ situation they are in.
Scottish Kelly, 62, said she finds the ‘not knowing’ hardest part.
Madeleine vanished from her holiday villa in Portugal in May 2007 aged three, prompting one of the UK’s most famous missing child cases.
Her whereabouts has never been discovered and her abductor has never been brought to justice.
Speaking on the Sweat, Snot and Tears podcast, Kelly said she is still struck by the tragic case.
She said: “One of the stories that has really stayed with me is the story of Madeleine McCann.
“She was tiny and I interviewed [Kate and Gerry] quite soon after Madeleine went missing and I’ve interviewed them over the years.
“It’s that thing of not knowing – if only they knew.
“There’s the worst possible scenario, but even if you knew that, then you could mourn and never forget, and obviously it would always be with you and you would never get over it.
“But it’s just this thing that, they don’t know.
“It’s so cruel, so cruel, it really is.”
She also said of Kate and Gerry: “I think of them often.
“I just remember interviewing [them] and it was so sad, they were utterly distraught, I’ve never seen people in that sort of state.
“It was just awful, absolutely awful.”
She added: “I think things like that stay with you a lot.”
Police have identified German convicted rapist Christian Brueckner as the prime suspect in the case.
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