Mr Craig, who stood down as leader of the Conservative Party last week pending a review, would not give further details about what that inappropriate conduct was.
Accompanied by his wife Helen, Mr Craig fronted a press conference on Auckland's North Shore this afternoon, to address claims of what he called "wild speculation" in the media relating to that relationship.
He denied sexually harassing Ms McGregor, but did give details about financial matters he resolved with her.
"Let me make it very clear; I have never sexually harassed anyone, and any allegations to the contrary are wrong."
RadioLIVE reporter Zachary Kerr tells Duncan Garner about the "bizarre" press conference with Craig:
Mr Craig said there was an "invoice dispute" over $50,000 payable to Macgregor.
He also said he had helped her bring her finances together, after she defaulted on a loan.
Ms Craig said she stood "in full love and support" of her husband whom "I believe has been falsely accused".
Craig concedes he will have lost support among Conservative Party members.
By Jacob Brown - 3 News
source: data archive