Filming and broadcasting of the programme will be suspended while the review is being conducted.
He said: "I think that the we all should have done more to flag up this type of television, the problems with this type of television".
In an email to ITV staff, chief executive Carolyn McCall explained why the show was taken down: "This was a very hard decision to make but we felt that it would be inappropriate to continue to broadcast the show when a participant on It has so recently died".
Callaghan said Dymond had been "quietly struggling", but praised the show's team for their after-care efforts. They were there when he needed help.
Monday morning's episode of the Jeremy Kyle Show did not air and ITV has now wiped all episodes of the programme from its on-demand service the ITV Hub, and episodes will not air on ITV2. And I don't think really it's very good for society, to have people who are vulnerable, driven to the point where they do blow up publicly on television.
Callaghan said that shortly before they went on the show, Dymond had convinced her he had not cheated, but the pair split up afterwards. But he always said he would never love someone else'.
TVNZ has said it will continue to air the Jeremy Kyle Show in New Zealand.
The broadcaster said the episode featuring the participant who died will be submitted for a review due to the "seriousness of this event". Known for confrontation, it is the most popular programme on ITV's daytime schedule, with an average of one million viewers. A TVNZ spokesperson says it's speaking to ITV about the upsetting incident, and won't screen the episode in question, but it plans to continuing broadcasting episodes that have already been approved for broadcast.
The mental health consequences of reality TV shows has been in the spotlight in Britain following the deaths of two contestants on hit show "Love Island".
In March this year another Love Island contestant, Mike Thalassitis, was found after taking his life in a north London park.
He apparently called friends in tears after filming the show, which had been due to air yesterday.
The message from chief executive Carolyn McCall told employees the suspension was "not in any way a reflection of the show" but a way to guard against the "reaction we expect to this death".
For confidential support, call the Samaritans on 116123, or visit a local Samaritans branch.
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