The singer, who married Argentinian model Luisana Lopilato in March 2011, splashed out on a horse for their first Christmas as a married couple.
But he told ITV1's Daybreak: "She was very happy until a couple of days later when we went out to choose the horse and she said, 'When will I see the horse?' and I said, 'When we're in Vancouver'.
"And she just started to cry in the back seat. I said, 'Why are you crying?' and she said, 'Because I will only be here for four or five months and the horse will miss me so much' and she just cried and I thought, 'Oh God, no'.
"But that's what she's like, she's very sweet and she didn't want to leave the horse lonely."
Michael - who has a new Christmas album out - revealed the festive season is a special time for him.
"I love it. And I think that if I didn't love it so much people would see through me. My family, my mom and dad made it such a special time for us."