Clinton, who is in the midst of a fundraising blitz across the country, solicited advice from the donors at East Hampton home of Karen and Charles Phillips, CEO of InFor, a financial systems software company. Clinton's press pool overheard the speech from inside the home.
"I am not taking anything, anyone or any place for granted. This is the most unpredictable electoral season that I certainly can remember and I am running against someone who will say or do anything," Clinton said. "And who knows what that might be. We have three debates ... I do not know which Donald Trump will show up."
She continued: "Maybe he will try to be presidential and try to convey a gravity that he hasn't done before or will he come in and try to insult and try to score some points."
Clinton has headlined 33 fundraisers in August, all of which have been closed to the press. While Monday's event was closed to the press, the pool of reporters following Clinton overheard her comments.
"Somebody said to be, 'Remember, there will be about 100 million people watching and 60 million will be paying attention to the campaign for the first time. So don't assume they have followed anything,'" Clinton said. "They may vaguely have some information about Trump said this or Clinton said that or whatever. But there will be a lot of new impressions to be made that night."
Both Clinton and Trump has started to prepare for their upcoming presidential debates. Trump met with aides over the weekend to discuss strategy about the events, while Clinton, aides have said, is just starting the process by reading briefing books and discussing strategy with her tight group of advisers.
Clinton spoke for around 15 minutes and touched on a number of policy topics, including minimum wage, mental health, gun control and education.
The former secretary of state also discussed her speech in Reno earlier this month, where she accused to Trump campaign of being built on "prejudice and paranoia," accusing the Republican nominee of racism and arguing that "fringe" elements have taken over the Republican Party.
"I wanted to pull it out from under the rock so people could see it and understand that David Duke has endorsed Donald Trump, he is the former grand wizard of the Ku Klux Klan," Clinton said, adding later that he is running for Senate in Louisiana and "hoping" that Trump's candidacy will boost him to victory.
"This is unthinkable," she said. "And nobody knows how well he is doing and how his embrace of Trump and Trump's acceptance of him could put that man, that despicable man, in the Senate of the United States."
Clinton also blasted Trump on foreign policy in her remarks, saying that Trump's candidacy has "shaken the foundations of belief in America's reliability in too many places."
"We have got to repair the damage that has been done," she said.
Former President Bill Clinton joined his wife, the Democratic nominee, at the fundraiser. Clinton sarcastically called is a "huge sacrifice" to get him off the golf course and to an event.