Reflecting on the immediate aftermath of the election, Ms Clinton credited "Australian chardonnay" as one of the things that got her through.
Ms Clinton said a "perfect storm" of factors worked against her in the campaign.
She said a hostile media, "insidious" Russian interference, being part of the "first reality television election" and an eleventh-hour intervention from FBI director James Comey, all played a role in the result.
Ms Clinton was interviewed by former prime minister Julia Gillard, someone who is no stranger to the highs and brutal lows of being a woman in politics.
"The more professionally successful (women) are, the less people like us," Ms Clinton said, mentioning her own high approval ratings as secretary of state, which took a tumble when she decided to run for president.
"Women are seen favourably when we advocate for others, but unfavourably when we advocate for ourselves."
But she encouraged many more women - both in the US and Australia - to run for office.
"The only way to get sexism out of politics is to get more women into politics."
Not long after, a member of the crowd chimed in with a loud "love you girls!"
The role of social media in politics was discussed at length, with Ms Clinton decrying "verbal violence" against women online, which she said can "mute women's voices".
Ms Clinton also talked about the Iran deal, calling Mr Trump's decision to pull out "woefully misinformed".
"Putting a lid on Iran's nuclear program made the world safer," she said.
"Our credibility has been shot. What's plan B, now we have no leverage?"
She said recent military activity between Israel and Iran in Syria had the danger of "spiralling out of control" and causing a new major conflict in the Middle East.
At the end of the evening, Ms Gillard asked Ms Clinton if she regretted running for president.
"No, no regrets," Ms Clinton said.