The former Olympian - who was known as Bruce Jenner before her transition - spent two years considering what she would be known as as a female, even watching the Miss America pageant for inspiration.
She said: "It's one of the hardest things in life -- choosing your own name."
The 65-year-old reality star considered Heather or Cathy but then her assistant Rhonda suggested Caitlyn.
Caitlyn exclaimed: "I love that name, too!"
Caitlyn then spent some time deciding whether to spell her name with a C or, as with ex-wife Kris Jenner, daughters Kendall and Kylie Jenner, and stepdaughters Kim, Khloe and Kourtney Kardashian, use a K but eventually decided to break with tradition and adopt the conventional spelling to set herself apart from the Kardashians.
The 'Keeping Up With the Kardashians' star is thrilled with her transformation and admits she looks "over-the-top better" as a woman than she ever expected.
She told Vanity Fair magazine: "I had this one time where I had not had a mirror behind me and they put this mirror up behind when I was doing this shoot.
"I had this rocking black outfit on, formal outfit, and I kind of, from a distance, looked in the mirror and I felt, 'Oh, my God.' That's the first time I'd ever really seen an image of me, of who I am. I mean over-the-top better than I thought it would ever be, especially at my age.
"You know, you think it's kind of over with at that age. And seeing that image was powerful to me, you know, powerful. And I kind of looked at it and said, 'You know what? This is going to work. We're going to be OK with this, you know?' So yeah, we move forward. I am so excited about the future."
See more images of Caitlyn Jenner before and after her sex change operation in the gallery below.