The couple is keen to keep the memory of his late spouse Rebecca, who died in 2015 from breast cancer, for the children - Lorenz, 13, Tate, 11, and Tia, eight - but decided to move all the photos of Rebecca into one room as Kate found it uncomfortable.
Speaking in the BBC documentary, Rio And Kate: Becoming A Step Family, she said: "I'm in a house that isn't mine, and it's got Rio and Rebecca's wedding photos, it's like an out-of-body experience. I'm just walking around the house thinking, 'What am I doing here?'"
Rio added: "I knew she was at odds with it a little bit in her own mind. And it's just about time. I used to say, 'The kids aren't ready yet, they've had enough going on. If I take them down, what if it breaks one of them?' I can't risk that at the expense of her feelings."
Rio discussed his decision with his kids as he wanted a space where they could be "comfortable".
He told them, before explaining the decision: "We can't just have pictures of Mummy everywhere. We decided to create a room for the kids, where they can come and be comfortable. And in here, they can do their homework, play on the computer, and then there will be a space where they can see pictures of their mum and nan and be comfortable. This will be where they'll spend time."
Meanwhile, Kate previously admitted she "cried every single day for a year" when she first moved in with her husband Rio as she struggled to be the "perfect" wife.
She said: "I cried every single day for a year when I first moved in with Rio. It was an incredibly difficult time because his mum Janice passed away [of cancer in 2017] just two years after they had lost Rebecca. My heart was breaking for them. All I wanted to do was try to fix him, make the kids happy and be as kind and supportive as I could. I gave up my job.
"I wanted to do everything right. But I didn't know how to cook. I kept getting things wrong, like forgetting to put a gym kit in a school bag or missing an email from one of the kids' teachers."