The Stereophonics frontman's 15 year old - who was born a girl and was named Lolita Bootsy - is transgender and transitioned to become a boy called Colby.
Although it was “difficult" to come to terms with at first, Kelly - who also has teenage daughter Misty, with ex-partner Rebecca Walters, and a little girl named Riley, with wife Jakki Healy - says everyone has been so supportive, while the 'Maybe Tomorrow' hitmaker revealed Colby has found his "own little style".
The 46-year-old rocker is quoted by the Daily Star newspaper as saying: “As a family, it’s all our job to help him realise he’ll eventually get to where he wants to be, and I’m proud of how we’ve coped.”
On how Colby's school mates reacted, he continued: “I’m flabbergasted that, through all this, not one person has bullied Colby or made any sarcastic comments to him.
“He looks like a cool little guy, too, with a messy haircut and Dr Martens - he’s found his own little style.”
Kelly added: “It’s very hard to put into words, but it was difficult to come to terms with it at the start.
“I almost found myself going through a sort of grieving process, as though I’d lost a daughter and hadn’t had a chance to say goodbye properly.
“But then you realise they’re the same person, the same soul, and suddenly it hits you: ‘Right, I need to get my head around this.’
“I mean, how tough must it be to feel you were born inside the wrong body? I can’t even begin to imagine.”
The Welsh rock band's 2019 track 'Fly Like An Eagle' and its accompanying music video was inspired by Colby's coming out story.