Terri Irwin says her Crocodile Hunter husband had a "very strong conviction" he would die young but she never feared he would be killed by an animal.

Steve Irwin's widow spoke about her husband's shock death in an interview aired on the Nine Network.

Mr Irwin died after his chest was pierced by a stingray's barb during a dive off the far north Queensland coast on September 4.

"I worried about when we were apart, he'd go to places he'd affectionately call `Lake Malaria' ... Those kinds of things really scared me," Mrs Irwin said.

I was afraid of him diving, not for the animals but for the apparatus with something going wrong.

I never feared for him with animals. He never feared for him with animals ... I'd watch him with animals. It never entered my mind.

A red-eyed Mrs Irwin said her husband had a "very strong conviction" he would die young - she thought he would die by falling out of a tree while he believed his life would be ended in a car accident.

She also agreed Mr Irwin wanted to be the first to go out of the family.

"He always said that - I don't know if he would have survived if he had lost one of his children ... he loved them so dearly, so passionately," she said.

"He'd say, `I don't think I could live without you', and I'd say, `You have to be here for the children' and he'd say, `I'd have to go first' ... He got that wish."

She said she "talked to him all the time" since his death and that her husband was "so much fun".

I just feel him and I have faith that somehow in some way there was so much love between us there must still be some type of connection.

She pledged to live by his larger than life spirit and remain in Australia where she would make the Irwin family's Australia Zoo wildlife park on Queensland's Sunshine Coast "bigger".

Whether Steve Irwin was cremated or buried will remain a mystery to all but a few.

In one of only two tearful interviews since her husband was killed in a diving accident, Terri Irwin said the Crocodile Hunter had a strong wish for privacy after his death.

He lived life so big that he just wanted some personal privacy at that point and I gave him that," Mrs Irwin told the Nine Network's Ray Martin.

There's just a handful of people who will ever know. I am going to give him that. That was his wish.

"Humility, I don't think he wanted it to be a big deal."

A private funeral was held for Mr Irwin at his beloved Australia Zoo on Queensland's Sunshine Coast, where it is believed he was buried, although he may have been cremated.

Steve Irwin was killed in a freak diving accident on the far north Queensland coast when a stingray pierced his heart with its tail barb.

A film crew was shooting Mr Irwin for a documentary at the time of his death, but Mrs Irwin said that footage would never be broadcast.

"Obviously my wish would be that that never saw the light of day," she said.

"I think that would be the most respectful thing. I can't see any purpose for bringing that out. I can't see a purpose."

Her husband's death was a complete accident, she said.

"Rays are beautiful, gentle, wonderful animals," she said.

"The specifics of what happened to Steve have never happened before.

"It would absolutely devastate Steve if anyone thought anything badly of an animal that had inadvertently harmed him in this way."

Mrs Irwin was travelling in a remote part of Tasmania with the couple's children, Bindi, aged eight, and two-year-old Bob, when told of her husband's death.

She said it was better the children weren't with their father when he died.

"There is absolutely nothing I could have done," she said.

Martin conducted the interview on the grounds of Australia Zoo.

Seated on a wooden chair, Mrs Irwin broke down in tears several times during the interview and had a box of tissues at her feet.

"He was my hero," she said.

Despite losing her "prince charming", Mrs Irwin said she felt very lucky to have experienced such love.

"I feel lucky. I feel blessed," she said.

"I have had more than most people. Part of me wishes that we had just another 10 years for the kids, but part of me is grateful that we didn't have 10 less years."

Up to 300 million people around the world watched Mr Irwin's public memorial service at Australia Zoo last week, with tributes from international stars Russell Crowe, Cameron Diaz, Hugh Jackman and Justin Timberlake.

And millions more were expected to have watched Wednesday night's hour-long interview.

A separate American ABC interview special, conducted by Barbara Walters, will air in the US 15 hours later.

The Irwin children did not take part in either interview.

Meanwhile, the road which runs past Mr Irwin's Australia Zoo will be renamed in the first step of a plan to preserve his legacy.

Queensland Premier Peter Beattie announced Wednesday that Glass House Mountains Road, at Beerwah, will be renamed Steve Irwin Way by the end of the year in honour of "Queensland's most well-known ambassador ever".