Mrs Trump was in Cairo as part of a four-country tour of Africa, arriving in Egypt after visiting Kenya.
She added: "I tell him my opinions and maybe in some of them we don't agree".
Trump received a warm welcome from Egyptian President Abdel Fattah al-Sisi and his wife, Entissar, at the presidential palace in Cairo before she headed to visit the Pyramids and the Great Sphinx.
Melania Trump also said that alleged negative comments attributed to her husband President Donald Trump about African nations did not come up during her trip.
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First lady Melania Trump looks out over Nairobi National Park in Nairobi, Kenya.
Apart from the interruption at JKIA, heavy traffic is expected along major roads as the US First Lady will be making her way to Nairobi. Still, Melania stands behind her husband even if she doesn't agree with how he handles his social media presence.
While Trump is known for vicious tweets targeted at those who wrong him, Melania has put time and energy into developing a program that hopes to stop cyber bullying, according to Daily Mail. "I have my own voice and my opinions and it's very important to me that I express how I feel".
Some question the choice, saying the helmet symbolised Kenya's colonial past and the control Britian once had in Kenya. There she led a line of children singing to traditional music. But when asked about the topic, Trump said she wished to discuss her trip and not her fashion choices.
The previous three stops - Ghana, Malawi, Kenya - has had a heavy schedules of children and health issues but also with a dose of tourism, call it sightseeing.
"She thinks animals are precious and doesn't like big-game hunting", said Stephanie Grisham, the first lady's spokeswoman.