The star had just finished performing at the closing ceremony of the Commonwealth Games in Birmingham when she learnt of Olivia Newton-John's tragic death.
She barely had time to process the news before she was due to appear live on Sunrise.
The hosts opened the interview by asking Vanessa about her memories of Olivia.
"I don't particularly want to think about it because I get very emotional," Vanessa said.
“I just literally had one of the highest endorphins that just happened out there, to being extremely sad by coming off stage and checking my phone."
Kochie then said he would give the singer time to "compose her thoughts" before asking about her performance.
Towards the end of the interview, Nat showed viewers a photo of Vanessa alongside Olivia and Tina Arena from 2000 before asking the star her memories of it.
"Both of these women are women that I've looked up to since I was a kid and ... I don't know ... I'm actually very sad about Olivia, to be honest," Vanessa said before she began to tear up.
Kochie then went on to talk about how Olivia was a role model for so many Australians and Vanessa could not speak again in the interview as she looked down and became overwhelmed with emotion.
The hosts then wrapped up the chat while Vanessa just lifted an arm gesturing to leave the interview.
"So horrible, I feel for her after coming off that [performance]," Nat said.
Vanessa had sung at the 2000 Sydney Olympics Opening Ceremony where Olivia had also performed.
After the interview, the star took to Instagram to share her own touching tribute to the Aussie icon.
"There [are] so many things I want to say. You made it feel possible to break the world as an Australian artist and be a truly beautiful person inside and out helping so many," she said.
"You will be forever missed."
Olivia, 73, passed away peacefully in her California home on Monday (local time) after a 30-year-long battle with cancer.
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