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On Thursday night, Kelly appeared on Jimmy Fallon's "The Tonight Show" and tried to make sense of it all.
"He said it was about me, then he said it was about a statement my boss put out, then he said it was about a gum wrapper on the floor," she joked. "There were a lot of reasons that he gave, so I don't know exactly why he didn't show up. But he did not show in the end."
The feud goes all the way back to the first debate of the election season last August, which Fox News hosted and Kelly helped moderate. In the debate, she pointed out that Trump has a history of referring to women in derogatory terms and asked, "Does that sound to you like the temperament of a man we should elect as president?" He later complained that she was unfair in asking him tougher questions than the other candidates.
Kelly told Fallon that Fox gave all the candidates tough questions and considers that part of her job.
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"They want George Washington's job. And I'm a member of the press and we're supposed to press, and see if they're worthy," she said.
After placing second in Iowa, Trump publicly mused that it may have been a mistake to skip the debate right before the caucus. Fox News is set to host another Republican debate in March. It remains to be seen if Trump holds a grudge against Kelly or has learned his lesson.
But Kelly isn't holding her breath: "We never anticipated anybody would react to the questions in that particular way," she said. "But you of sort of keep your head down, and shoulders back, and try to forge forward."
The fallout with Trump has changed things for her a "little," though.
"I can no longer go on Twitter," she said. "It's been a surreal six months."
She and viewers also got a fun, impromptu Trump impression from Fallon.
Watch the interview below: