Paula Broadwell, Petraeus's biographer and mistress, said in an interview last week she was sorry about how her affair with the former general had affected their families.

"I have remorse for the harm that this has caused, the sadness it has caused my family and other families," Broadwell told ABC News's Charlotte, N.C., affiliate.

In a statement released by KKR, Petraeus said he was "very pleased" to start at the firm.

"I look forward to supporting the investment teams in their pursuit of the best opportunities for clients and also being a part of a new initiative to provide additional insights to KKR's clients and companies," Petraeus said.