No, he’s not referring to his Strictly Come Dancing days (in case you missed it, he was the unexpected star of the 2016 series).
The former politician, 51, actually wears a skimpy Union flag number to enter the wrestling ring in new BBC Two show, Travels In Trumpland With Ed Balls.
“I’m not someone who previously had bikini line concerns, but they wanted me to wear a really tight-cut leotard, and I thought it would be unflattering,” quips the Norwich-born father-of-three, who’s married to Labour MP Yvette Cooper.
“I got a pair of black boxers under it. Had I only worn the bikini line, that might have ruined it for the viewer…”
He decided not to shave his legs and torso, like his fellow wrestlers did, either.
“My kids think dads should be embarrassing but that I substantially overachieve,” he adds with a grin.
“I could explain to my 13-year-old why it was important to do the wrestling, but if I’d have been waxed and shaved, she would have said it was too much.”
The factual entertainment series sees the ex-shadow chancellor walk in the shoes of a variety of supporters of US President Donald Trump, to try and understand why they voted for him.
“Lots of people will assume they’re either deluded and don’t understand, or extreme and dangerous, but we just met really nice, ordinary people,” he says.
“I thought that after the first year Trump would be losing support, but we didn’t find that at all and it wouldn’t surprise me at all if he won a second term.”
The three episodes look at different issues facing Americans, whether that’s the gun control movement or immigration policies, and how they feel about their country since former reality star Trump was elected in 2016.
“I thought he’d drop the wild persona and become a more reasonable, centrist president but he hasn’t at all,” Balls notes.
“You assume it can’t get worse, and it does.”
As well as being an insightful and entertaining series, what might surprise viewers is how emotional it is to watch at times.
In the first episode, Balls stays at a farm with a group of war veterans, and as well as hearing their thoughts on Trump, he joins them round a campfire for a toast to friends who lost their lives in service.
And he asks to toast to Labour MP Jo Cox, a mum-of-two who was murdered by a far-right extremist outside her constituency surgery in Birstall, near Leeds, a week before the EU referendum.
“The only thing which felt comparable to me was Jo, who I knew very, very well,” Balls confides of the moving scene. “I did a lot of campaigning and fundraising with her.
“From a personal point of view... Jo losing her life is a terrible thing, obviously, but I’m somebody who has three kids, and a partner who does exactly the same kind of surgeries every Friday, so it could absolutely have been us.
“I could both think about what it’s like to be Jo but also think about what it’s like to be her family.”
Balls agrees that competing on Strictly – on which he won fans over with his memorable salsa to Gangnam Style – showed the public a different side to him.
“People kept saying to me, ‘We always knew you were a politician but it’s great to see you’re a human being as well’.”
With presenting this documentary series taking him out of his comfort zone once again, he says we can expect to see even more of his personality.
“It’s impossible to be in a character for so many hours [of filming] each day, so it’s impossible to conceal who I am.”
Did he look to an experienced interviewer like Louis Theroux for inspiration?
“I took a decision that I shouldn’t watch anyone else doing this kind of thing until we had made the first episode. I didn’t want to try and be someone else.
“If you asked me what the genre is, it’s a mix of old-style, early Louis Theroux meets The Real Marigold Hotel and little bit of Ruby Wax.
“I tried to let the characters do the talking. I reveal my opinions to camera but not to the people I’m with.”
It was the 2015 general election when Balls lost his seat in the Morley and Outwood constituency, in West Yorkshire.
And he doesn’t seem to envy those currently working as an MP.
“I’m regretful politics is so chaotic at the moment, and I look back at better times wistfully,” he says.
“But if you said to me, ‘You could be in Parliament or you could do this show at the moment’, I’d definitely choose this show.”