"I don't always agree with what he tweets", she said.
The headwear has direct ties to European imperialism and colonialism, often worn by the British soldiers who colonized Africa and India in the 19th century.
Trump's trip, which took her to Ghana and Malawi as well, has also focused on children - one expressed objective of the trip was to highlight her "Be Best" campaign, which promotes "encouragement, kindness, compassion and respect" among kids.
The jacket also caused debates that provoked the American president to explain that she was sending the message to "Fake News Media" and not the detained kids.
It was her first major solo trip overseas and a rare example of a time when she has answered questions by reporters on a variety of topics. Sometimes he listens and sometimes he doesn't, but I have my own voice and opinions, and it's very important to me I express what I feel'.
Although, one outfit Mrs Trump wore on her tour sparked controversy.
Following her visit to the orphanage and national park in Nairobi, Trump had tea with Kenyan First Lady Margaret Kenyatta.
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The first lady also would not say if she believed Ford's allegations against Kavanaugh.
"I'm not elected, he's the president", she added.
"Melania Trump wearing pith helmet on her trip to "Africa" is more than a silly satirical choice".
A big talking point on the trip was the outfits she chose to wear, opting for Daring colonial-inspired attire.
Washington has been gripped by high drama for days, from the testimony of Dr Christine Blasey Ford - who accused Kavanaugh of sexual assault - to protests against his nomination and an FBI investigation into the allegations surrounding the judge.
While wrapping up her first global tour as First Lady, Melania answered questions from reporters while sitting outside the pyramids in Giza, Egypt.
During their discussions at State House, First Lady Margaret Kenyatta gave the US First Lady a copy of Beyond Zero's strategic framework for 2018-2022 which she launched earlier in the year.
In the past, her clothing choice has sparked widespread comment, notably when she wore a coat emblazoned with the slogan "I really don't care, do u?" while boarding a plane to visit migrant children at the Texas-Mexico border in June. "It is a attractive thing to see".