The media mogul became pregnant when she was a teenager but her son was born premature and died and Oprah opened up about him to 12,000 fans during a talk at Melbourne's Rod Laver arena.
Revealing why she only picked a name for her son recently, the 61-year-old media mogul explained: "I did have a son. And I named him Canaan because Canaan means new land, new life.
"I did an interview with a reporter before I came to Australia and she said you should name the baby son who died. So I have named him, I had a little boy named Canaan."
She added that she tried to hide her pregnancy because of the "pain and shame".
Oprah also spoke of her harrowing childhood, telling audience members: "I was raped at nine years old by a cousin, then again by another family member, and another family member."
According to news.com.au, Oprah also revealed that she was undertaking her tour of the country in order to "share" her knowledge with others.
She said: "Part of the reason why I am here is to share why I'm here, share what I know and pass it on."