The 32-year-old star and the late-night TV host are distantly related, with genetic testing having confirmed that Kelly's dad, rock star Ozzy Osbourne, and Stephen descended from the same tribe of archaic humans.
Speaking on 'The Late Show with Stephen Colbert', Kelly told the host: ''We're related so it's crazy that we've never met before.''
To which Stephen produced a statement from an expert and responded: ''That's what I've just found out. I was handed this, tell me what this means ... it says, 'Ozzy Osbourne: part Colbert, part Neanderthal'. Evidently, we are cousins in some way. What's the story behind this?''
Kelly then explained: ''Well, I guess you both did gene testing. So, my dad did it and then they tested me and my brother, and so it turns out that we come from the same Neanderthal tribe!''
She added: ''I came from my dad, so you're like a long lost cousin from somewhere. The Black Sea, I think they said it was. Lovely to see you!''
Meanwhile, Kelly recently admitted to being unhappy throughout her time on her family's MTV reality show 'The Osbournes', which gave fans of Ozzy a behind-the-scenes look into the rock icon's day-to-day life.
Kelly shared: ''I was miserable the entire time. I would just do anything not to feel what it felt like to be me. I wanted to be anyone but myself and I wasted so much time trying to be other people when I'm good enough, just me.
''And that's OK. I don't have to be the prettiest, the smartest, the funniest, the best; I don't want to be. I just want to be me and it's one of the biggest battles you will ever face in life.''
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