When told of Mr Key's comments, she said it was "more positive" than she had expected, as National ministers Kate Wilkinson and Hekia Parata had been dismissive of her member's bill to require employers to release information on what they paid according to gender.
"I'm pleased the Prime Minister at least recognised progress could be made, and should be made."
Ms Delahunty has proposed requiring employers to release some information on pay levels by gender in individual workplaces, as well as allow the Department of Labour to aggregate data nationwide.
Mr Key said he had not seen the detail of what was proposed.
"When we looked at the same issue a while ago, one of the concerns raised was about making sure information in the workplace was treated appropriately."
Asked if he believed there was a pay gap in practice, Mr Key said it was against the law for employers to pay more to a male than a female simply because of gender.
"If two people start in the same job, in my opinion they should be paid the same irrespective of gender or other issues.
"The reason there is a pay gap is because of the nature of the jobs, as I understand it.
"Women dominate in some jobs which are either part-time or lower income jobs."