The Welsh mezzo-soprano has topped the leader board twice on the show, which is based on the Strictly Come Dancing format.
She told ITV1's Daybreak she was "thrilled" to be in the show still, particularly as she is unfamiliar to US TV viewers.
The 31-year-old said: "I'm very much a sort of new face to America, so considering it's half a public vote, I really didn't want to take anything for granted. But I'm thrilled to be going through to the next week."
She said she had been surprised at the popularity of the programme, and how her life has changed.
"I don't think I was quite prepared for what a massive show it is here and things have definitely changed. In the last few weeks people are coming up to me in restaurants and wanting to talk about jiving and all this, and paparazzi following, and yes, things are different now over here.
"But I'm honestly just loving the dancing, we're having so much fun."
Katherine, who split from TV presenter boyfriend Gethin Jones last year, denied she was dating dance partner Mark Ballas.
"He has a girlfriend and I'm not ready. I'm not ready for any of that yet. I'm just going to concentrate on the dancing," she said.
Tennis champ Martina Navratilova was the first star to be eliminated from the competition when she was voted off this week.
REPLAY: 'The best first dance ever'