The Brexit Party MEP's involvement came during Kenya's controversial 2017 election campaign, when president Uhuru Kenyatta deployed a secret team to help him retain power.
Phillips initially strenuously deny any involvement with the data firm, which has been accused of influencing the Brexit result in the UK and the American election result.
The MEP is said to have only backtracked after the programme obtained a recording of an interview from 2017 in which she confirms she had been "employed by Cambridge Analytica".
The firm was exposed by an undercover Channel 4 News investigation last year in which company bosses were filmed boasting of dirty tricks, and impacting election results around the world.
When initially questioned by journalists on camera, Phillips denied working for Cambridge Analytica, or even knowing anyone on their political campaign team. "I didn't work for them at all. That's libellous." She added: "I'm being very serious now. You're actually propagating a load of misinformation that's been put online... based on nothing."
She continued: "If you want to talk about the Cambridge Analytica campaign, speak to them, not me. I don't know them. I really don't know the people."
Phillips then went on to pressure the reporter to drop the story, before calling her lawyers. She said: "And if you use this online, it's going to be very difficult, OK... And actually, please don't pursue that because there's going to be a lot of things that might be happening over the next weeks, months, which is going to make life very difficult. I'm being serious. "I've never been employed by Cambridge Analytica in my life."
However, the team obtained an audio recording of an interview from 2017 in which she told how she was secretly "employed by Cambridge Analytica" to work for president Kenyatta's Jubilee Party.
Later in a statement released to Channel 4 News, Phillips said: "In Kenya, I worked as a freelance contractor -- focusing on speechwriting - with the team of President Kenyatta, who is a great ally of the UK. The campaigns I worked on promoted peace and national unity in a country that I love dearly.
"This work was sub-contracted out to me by SCL, which went on to become a different company. Out of respect for those whom I served, I will continue to respect the confidentiality agreements that I signed upon accepting the role in Kenya.
"And I will not be bullied by agenda-driven, guilt-by-association reporting."
Kenya's 2017 election was mired in controversy. Divisive political campaigning was blamed for inflaming tribal rifts. Prominent critics in the country accused president Kenyatta of paying Cambridge Analytica millions of dollars to "hijack" its democracy.