"When Victoria was given the heads up on Wednesday about David's interview, she was absolutely devastated," the friend told The Sun.
"She has no idea why he would say such insensitive things and publicly embarrass her like this. As you can imagine, it was as if a nuclear bomb had gone off in the Beckham household when she found out.
"She was in pieces and spent the next two days crying. To say it's not been the best of weeks is an understatement."
The interview came just four months after the couple was hit by unfounded claims their almost 20-year marriage was on the rocks.
After the incident, Victoria spent two nights at the five-star Brenners Park-Hotel & Spa, a stress-management clinic in Baden-Baden, Germany.
The 43-year-old posted an Instagram selfie hiking in the region, sparking rumours over whether she would even join her family in Australia for the Invictus Games.
But Victoria came through, and the celebrity couple touched down in Australia together at around 7am yesterday.
After a long flight from London to Sydney, the pair arrived with three of their children, Romeo, 16, Cruz, 13, and Harper, 7.
The couple will make a formal appearance at the Games later this week.