Jenner revealed last month she was planning to live life as a woman, and now the 65-year-old has told Vanity Fair: "If I was lying on my deathbed and I had kept this secret and never ever did anything about it, I would be lying there saying, 'You just blew your entire life'."
The cover shot, taken by celebrity photographer Annie Leibovitz, features Jenner in a strapless corset, legs crossed, sitting on a stool at her home in Malibu, California.
After the cover was revealed, Jenner opened a new Twitter account with the biography: "I'm so happy after such a long struggle to be living my true self.
"Welcome to the world Caitlyn. Can't wait for you to get to know her/me."
In 1976 Jenner won a gold medal in the Olympic decathlon before gaining commercial success in advertising and television.
For the past decade she has been better known as the stepfather in the hit reality TV series Keeping Up With The Kardashians.
Jenner has been married three times and has six children.
Daughter Kendall posted a video about the magazine shoot on her instagram account and tweeted: "Now that's a cover."
She later added: "Be free now pretty bird."
Jenner's transition was revealed in a two-hour programme on ABC that was watched by 16.9 million viewers.
She told Diane Sawyer that "to all intents and purposes I am a woman" and said he had felt that way since childhood.
"I've always been confused about my gender identity.
"I'm not stuck in anybody's body. My brain is much more female than male. People look at me differently. They see you as this macho male, but my heart and my soul and everything that I do in life, it is part of me, that female side is part of me."
She told Sawyer that Kim Kardashian had handled the news of his transition best, while Khloe had struggled to come to terms with it.
"We were given this life because you were strong enough to live it! I couldn't be prouder!!! Caitlyn," Khloe tweeted after the cover was revealed.
Kim posted: "How beautiful! Be happy, be proud, live life YOUR way!"
Jenner's own still-untitled docu-series chronicling her transition is scheduled to air in July.
