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Kelly, who lives in Rye with her husband Douglas Brunt and three children, previously hosted a show on the FOX News Channel.
She opened her new show, "Megyn Kelly Today" by saying, "I'm kind of done with politics for now."
Kelly announced she was leaving FOX News for NBC back in January.
On "Megyn Kelly Today," the anchor said she hopes to help viewers get through their day with a laugh, a smile and sometimes a tear. The show features a studio audience.
"Some fun," Kelly said. "That's what we want to be doing."
On her debut show, Kelly talked about her Albany roots, interviewed the cast of "Will and Grace," and a Chicago nun who was working to clean up her neighborhood.
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