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The reality star said: "I think both being in the same industry really helps. Because we get each other's careers, and we totally understand it."
Wright added: "Essentially, we both just want each other to achieve all of our goals and all of our dreams and we just support each other every step of the way for that, you know."
Wright and Keegan got together in 2012 before marrying three years later.
Wright got his break appearing on the first season of The Only Way is Essex before going on to appear on the likes of Strictly Come Dancing, The Bachelor and Who Do You Think You Are?
He has also fronted several of his own shows including Mark Wright's Football Saints and Sinners, Mark Wright's Hollywood Nights and Mark Wright: The Last Chance.
He is is set to host a new show called A Wright Old Adventure which also feature his father and brother.
Wright talked about the show to the Mail: "It was an experience of a lifetime. You know, it wasn't a job. It was just me and my dad and my brother doing experiences that we could only have dreamed of doing. We did literally everything you can imagine.
"We pushed my dad to the limit. There was worrying times where he didn't want to say no, because it was obviously his two sons. He didn't want to back out of anything."
It is the first time Wright's father and brother will be appearing on TV.
Watch below: Mark Wright given all-clear after having tumour removed