The star, who will be back performing stand-up in Glasgow in the autumn, said he also had the chance to reflect on his behaviour.
He said: "The time in Big Brother makes you look at yourself.
"At first I wondered why the housemates were so teary all the time, but the house forces introspection.
"It makes you wonder why you say and do things.
"It gives you time to think about how you have handled yourself that day. And I felt better for that period of reflection."
He was set to enter Celebrity Big Brother a year ago, but was arrested on charges of sexual assault.
"I was coming back from appearing in Glasgow and the police called and said, 'We're going to arrest you. Where are you?' And I replied, 'You're not a very good detective, are you?' Which perhaps wasn't the best way to begin a dialogue. But I had already been tipped off by a journalist the allegations had been made.
"Then I had two months of worry over what I had be arrested for."
His life changed. He said: "I knew my Big Brother money was gone. I knew I was headed for a cell. And I knew I was innocent.
"However, the demons set in. I worried why the police didn't know I was innocent. I worried this may be some payback for Savile (sex scandal)."
He hired a top legal team to deal with the allegations. The legal costs and the loss of earnings put him £500,000 out of pocket.
And three days after his 60th birthday he was told all charges were being dropped.
The Londoner was then re-signed for Big Brother and he won by a landslide with the biggest vote ever recorded.
The public saw another side of the comedian - he was the shoulder to cry on.
He said: "I'm glad I went on the show. I was concerned I would make a prat of myself like so many others, but I took my mate Goose's advice and tried to be myself. And it worked."
l Jim Davidson appears at the Pavilion's 110th Anniversary Show on March 2 and with his nationwide show Jim Davidson: No Further Action, on October 31 and November 1.