"I have lived in the wrong body my whole life, it is a living hell" - Caitlyn Jenner

Bruce Jenner's ex wife, Linda Thompson has revealed in her new memoir, A Little Thing Called Life that her ex husband, Bruce shared his transgender secrets in 1985 with her.

Excerpted exclusively in this week's PEOPLE, the star opens up about the confusion and desperation she felt as she struggled to come to terms with Jenner's desire to transition from male to female.

In 1985 – after the birth of their two sons Brandon and Brody – Jenner (then known as Bruce) confessed to Thompson that she identified as a woman.

Thompson – who famously dated Elvis Presley before marrying Jenner in 1981 – recalls in her memoir that Jenner told her, "I am a woman trapped in a man's body."

Thompson writes, " 'Whoa, Bruce, honey, have you looked in a mirror?' I protested. 'You are the epitome of the ideal man!' "

She says that Jenner responded, explaining, "I have lived in the wrong body my whole life. It is a living hell, and I really would like to move forward with the process of becoming a woman."

The couple then went into therapy together, where a devastated Thompson hoped Jenner would change her mind.

"As we tried to work through our feelings," Thompson recalls now in her memoir, "Bruce told me he was considering traveling out of the country, possibly to Denmark, to try to have the gender reassignment surgery anonymously and then come back as a female."

"He thought maybe he would reenter their lives as a female relative," Thompson writes. "He was grasping for a lifeline. As devastated as I was, my heart bled for Bruce."

*Just thinking out loud* When therapy failed, they should have tried deliverance.