In 2005, the year she retired from athletics, she was made a Dame by Queen Elizabeth II. Holmes took part in her final major championship in 2004, for a double gold medal-winning performance in the 800 metres and 1500 metres at the Athens Olympics. 'I felt like I could breathe again, one little call could have saved 28 years of heartache,' she told the newspaper. She contacted a military LGBTQ+ leader in 2020 to find out if she could be sanctioned for breaking army rules and was told she would not be. Speaking to coincide with the Pride month which celebrates and raises awareness about LGBTQ+ communities in June, Dame Kelly shared that she realised she was gay at the age of 17 after kissing a fellow female soldier, and that her family and friends have known since 1997. The moment this comes out, I'm essentially getting rid of that fear,' she said.

I feel like I'm going to explode with excitement,' Holmes told the 'Sunday Mirror' newspaper. Until 2000, it was illegal for gay, lesbian and bisexual people to serve in the British Army, Royal Navy and Royal Air Force (RAF), but the law has since been changed.