Mary Lou Retton is doing her first interview since being released from the hospital last year amid a scary battle with pneumonia -- and now, we're learning it was nearly deadly.

The ex-Olympic champion is set to do a sit-down with Hoda Kotb of "Today" this week, and a teaser clip was released ... which features the images of her we've seen publicly for a long while, and it's somewhat startling to see that she has breathing tubes hooked up to her.

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Hoda notes that MLR is still on oxygen, which Mary confirms ... only to then discuss how awkward and difficult it is for her to discuss her health scare in the public eye like this.

She then makes another revelation ... saying she's grateful to be here, 'cause for a while during her hospitalization -- Mary didn't think she'd make it. As she notes here, they were on the cusp of placing her on life support, confirming the seriousness of her condition.

Her family members had been telegraphing this to us at the time ... discussing setbacks during her recuperation, and how scared her loved ones were for her, asking for prayers. Remember, Mary Lou had contracted a rare form of pneumonia -- which took its toll.

Thankfully, Mary Lou was able to fight back to good enough health to be released -- and now, it looks like she continues to be on the mend as she gets to 100% again at home.

The full interview is set to air on Monday ... we'll be watching.