Caitlyn Jenner says it was harder to come out as Republican than transgender

Caitlyn Jenner said that while she firmly believes in the Republican Party, supporting it has not always been easy.

"It was easy to come out as trans. It was harder to come out as a Republican," Jenner told a crowd in Cleveland on Wednesday at a brunch hosted by the American Unity Fund.

Formerly known as the Olympic athlete Bruce Jenner, Caitlyn Jenner came out as transgender in 2015. Despite praising Democratic President Barack Obama for policies such as allowing transgender military members to serve openly, Jenner is sticking with the GOP.

"I feel like our best hope to get back to a constitutional government with 18 enumerated powers is in the Republican Party," Jenner said. "I have to admit I've been very disappointed over the last five, 10 years, but I won't give up hope on it."

The American Unity Fund works to build Republican support for LGBT rights, and hosted its event alongside this week's Republican National Convention. Jenner cheerily greeted the crowd before delving into a wide-ranging conversation touching on everything from her support of the party to her faith and recently proposed bathroom bills.

Earlier this year, North Carolina passed a law requiring transgender people to use public bathrooms and changing facilities based on the sex "which is stated on a person's birth certificate." The issue became a lightning rod of controversy and many businesses have openly opposed it.

Jenner first took to humor in criticizing the law.

"I have not had any issues about bathrooms myself, I haven't used a men's room in a year and a half, and thank God, because there's some great conversation going on in the ladies' room," Jenner told the crowd to a response of laughter. "And I just want you to know, girls, that I follow all the rules, I've never flushed a feminine product down a toilet."

However, Jenner quickly pivoted to a more serious tone, voicing concerns over the impact the law may have on children who already face bullying and depression.

"Now you're telling me that the State of North Carolina is going to come in and bully you too, and say you can't live your authentic life and you have to go in this other bathroom," Jenner said. "It just doesn't work. It's even more depression for these kids."

More broadly, Jenner said the goal in speaking to "fellow Republicans" was to raise awareness of issues that transgender people face for a party with many members who may not have personal experience with that group.

"The Republican Party needs to understand. They need to know people who are trans," Jenner said.

— CNBC's Scott Cohn contributed to this report.