She captioned the image: “And the aim of the game is to be sexy... not with these trotters.”
Helen finished the post with laughing emojis and the hashtag #nopainnogain.”
Despite her injuries, the mother-of-three is in good spirits and said she is “loving the journey”.
“Feet on fire and head exploding but loving every second of this journey,” Helen said.
She shared a selfie with Gorka alongside a video of him pranking people by jumping out from behind a door.
“Somehow @gorka_marquez finding time to prank everyone - thank god there’s room laugh,” Helen wrote.
She added: “It’s been a big old week of training so far and still a lot to do ….. here’s to the feet and hips doing what the boss says.”
Helen made her Strictly debut on 24 September and wowed judges on the dancefloor scoring 26 points out of 40 with Gorka Marquez, as they performed an American Smooth to You Send Me by Aretha Franklin.
The Radio 5 Live presenter admitted she let the nerves get the better of her as she fled the studio in tears earlier in the day.
On BBC Radio 5 on Tuesday, she explained: “I had a little cry. I’m normally cool, calm, and collected.
“I got on the dance floor, and they said, ‘When the audience come in...’ and I went, ‘Oh crikey, yeah, there’s people. I was like, ‘there’s a fire door there, I can get out of it,’ and I did.
“And Gorka found me and said, ‘What are you doing?’ I said, ‘Just having a minute.’ I literally ran. It was like when I did Celeb SAS, I tried to escape that.”
Earlier this year, Helen announced on Instagram that she had split from her husband, Richie Myler.
The single mother-of-three married England national rugby league team player Richie Myler, who plays scrum-half and fullback for the Leeds Rhinos, in 2013.