But the reality star says there is no "handbook" on how someone should tell their family.
Caitlyn, who used to be known as Bruce Jenner, announced her gender change in a television interview back in April 2015.
Khloe says she now understands it wasn't an easy thing for her stepmother to do that.
"It's not that I'm angry that Bruce was transitioning to Caitlyn," she told ES Magazine.
"I didn't appreciate how it was handled and how we found out more in the media than from Cait.
"But you know what? There's no handbook to all that.
"I don't know what she's going through and I don't know how anyone is supposed to handle that situation."
Khloe also spoke about her sister Kim Kardashian's robbery in Paris in October.
Kim was held at gunpoint and tied up by robbers who broke into the flat she was staying in during Paris Fashion Week.
The gang stole nine million euros (around £7.6m) of jewellery, including a diamond ring valued at about four million euros (£3.4m).
"I get really angry when people blame her for her robbery. I think that is the most irresponsible accusation," says Khloe.
"I don't care how little or how much you have, nobody deserves to be violated and robbed and assaulted and traumatised."
French police made several arrests and are still investigating what happened.