Mills, who danced with Joanne Clifton on series 12 of the show, and got through to week six, admitted he still struggled sometimes in front of a live crowd and said radio was his favourite because he could still 'talk to a lot of people and get that reaction, but it's not overwhelming'.
Speaking to Kate Thornton on White Wine Question Time, the 48-year-old said: "The best thing I ever did to conquer [feeling self-conscious] was Strictly Come Dancing.
"Everything changed after that, because nothing is more terrifying than knowing that 15 million people are watching you about to do a dance, which you know, you can't do."
WATCH: Scott Mills on his Radio 1 exit, his wildest on-air pranks, and what radio means to him
The DJ, who hosted his last Radio 1 show on Thursday before a move this autumn to Radio 2 in Steve Wright's slot, said TV and radio were 'completely different' for him.
Mills was 16 when he started on a Hampshire commercial radio station, and of the job he said: "I know how to do it, almost like breathing. I know it so well because I've done it for so many years.
"It's second nature to me. If you woke me up at 2am in the morning and went: 'Do the radio', I could do it — after a coffee."
But while his Strictly experience may have been good in some ways, Mills admits he can't listen to the show's music now without a slight 'Oh God' feeling.
He said: "I loved everything about that show, apart from the dancing. It was such a joyous experience."
On his last show Mills was bombarded with praise from listeners, colleagues and the family of his co-host Chris Stark, who he brought into the show as his friend and has now presented with for 10 years.
He described the listeners' reaction to him going as largely positive and 'overwhelming' and knew that he had been the soundtrack to many people's lives.
But he also told Thornton he was happy with his level of fame, and that he could still take the bins out.
"My mum always said to me: 'You're very good at your job, but you're not cut out for it', like being in the public eye," he told Thornton, speaking before his final show had aired.
"I think that's why [radio] is my favourite because you can talk to a lot of people and get that reaction, but it's not overwhelming and you're not looking in their eyes ."
The DJ is known for long-running games such as Innuendo Bingo and for pranks played on and with huge names including Jennifer Aniston and Katy Perry.
He also told Thornton about the 'pinch me' moments from early in his career at Radio 1, including being offered the job in the first place, and then being asked to cover the coveted breakfast show.
Only a couple of weeks later, he said he was approached by someone who said: "You look young and you've got spiky hair. You look a bit like Scott from 5ive. Do you want to do Top of the Pops?"
Though he was surprised, he said yes to hosting the pre-recorded show which aired on a Friday night, which Thornton also used to present.
Despite having done no television before, Mills thought he 'would be a fool' not to take on the role, and remembered the crowd around him and a camera coming towards him as he prepared to read the introduction to the show.
He recalled: "I've never done this before in my life. So this big camera was coming towards me. And I thought: 'I better speak', and someone was like: 'Go!' in my ear.
"I did the first link, I didn't have a clue. I only did about three because I was rubbish surprisingly, I'd never done it before.
"But then I remember going in, literally doing the first link and I actually went and threw up."
WATCH: Scott Mills on his Radio 1 shock, 4 days into the job