Last week, the DJs called the London hospital where a pregnant Kate Middleton was convalescing from acute morning sickness and posed as the Queen and Prince Charles.
Jacintha Saldanha, a 46-year-old mother of two, was the nurse who put the call through to Kate's nurse. It is suspected Saldanha committed suicide on Friday, with her body found near King Edward VII Hospital.
Speaking on an Australia Seven Network show, Greig and Christian were visibly shaken by the events.
When Greig described hearing the news of the suicide, she said, "Unfortunately I remember that moment very well because I haven't stopped thinking about it since it happened, and I remember my first question was, 'Was she a mother?'"
Greig then added she was "very sorry and saddened for the family. I can't imagine what they'd be going through."
Christian explained he is "gutted", "shattered", and "heartbroken." He said, "We're still trying to get our heads around everything. Trying to make sense of the situation."
The DJs have been taken off air and advertisers have reportedly suspended their accounts with the broadcaster. They may also be questioned by Scotland Yard.
Chairman of the hospital Lord Simon Glenarthur called the hoax "appalling" in a letter to Austereo, and urged the company to ensure such calls never happen again.