Pamela Stephenson, 64, said that she had noticed her husband's hand shaking for many years, but assumed that he had spent too long playing the banjo.
Connolly, 71, has previously told how he was diagnosed with prostate cancer and Parkinson's disease on the same day.
Ms Stephenson has said the star is "doing incredibly well".
She said: "He's been ill and it was a huge shock for him.
"For someone who's been healthy his whole life, to suddenly hear that he had two major problems.
"He had cancer, he's got Parkinson's.
"But thank God his Parkinson's is so mild he will never really have the kind of symptoms that many people associate with Parkinson's, as far as we know."
She added: "He's probably had it for 10 years, so it's very, very slowly progressing.
"There are different strains of Parkinson's I'm learning about."
The Not The Nine O'Clock News star added: "I've noticed his hand shaking for many years.
"I used to think he was playing the banjo a bit too much... I think it's been there for a long time."
She said that it had been a difficult time "for the whole family".
"But Billy's one of those people who doesn't like going to the doctor so of course he was going to hear some bad news when he went," she added.
"He's his curmud-geonly, lovable self and dealt with it the way you would imagine him to deal with it."
Stephenson said that her husband did not need medication for Parkinson's because his symptoms were so mild, and while at one time she thought that he might not be able to perform "there are no problems with his memory".