Jim Cramer, the volatile stock analyst and host of CNBC’s “Mad Money,” looked and sounded like a man who had been blindsided by a locomotive.

And in a way he had.

One of Cramer’s dearest friends, Eliot Spitzer, a former law school classmate and neighbor who grew up to be governor of New York, was caught up in a prostitution scandal.

Cramer was on the air with CNBC on Monday afternoon when the New York Times broke the story on its Web site, Cramer told TODAY’s Meredith Vieira on Wednesday. “I was on air, and I was denying it,” he said. “It was inconceivable to me. He’s a friend of mine, and it’s inconceivable, but it happened.”

Hunched over in his chair, Cramer wrestled with his emotions as he talked not just about Spitzer, but about the governor’s wife, Silda Wall Spitzer, whom Cramer also knows from their Harvard Law School days in the early 1980s.

“He’s a great guy, and I love him, and I really love his wife,” Cramer said. “It’s just very sad. It’s very sad.”

As New York's attorney general before he was elected governor last year, Spitzer had waged war against corruption on Wall Street, where Cramer was often in the position of defending his friend the prosecutor against the howls of outrage from his friends the stockbrokers. On Monday, when word that Spitzer had been connected to a high-end escort service surged across the trading floor at the New York Stock Exchange, the traders erupted in spontaneous cheers. Their old nemesis had finally been laid low.

When Spitzer was attacking corruption, “I had great ammo to shut them up,” Cramer said. But now, he had nothing with which to defend the indefensible.

“I don’t have any ammo,” he told Vieira. “I’ve been defending him for years because he’s my friend for a long time, and he’ll still always be my friend. But I didn’t have anything to tell them to shut up. They have the edge, ’cause Eliot screwed up. I’ve always defended him because I felt what he’s doing is right. Now, I just have to listen like everybody else to all the bad things that they say about him.”

Cramer was close to tears as he spoke about Silda Spitzer and the marriage he had observed as a close friend of both spouses.

“I think she loves Eliot. I know he’s always worshipped her,” he said. “I don’t want to make any excuses for what he did. I can’t believe it. But she loved him. I feel bad for them. I feel bad for the girls. That’s what I said to him. I said, ‘Let me speak to Silda.’ It’s Silda that you feel bad for.”

The analyst acknowledged that Spitzer has been ruined. “He is a hated figure, but I don’t want to come on and say he’s a good man, because no one likes him now,” Cramer said. “But he’s done a lot of good things, and it’s just a sad thing, it’s just very sad.”

Cramer didn’t say he felt betrayed by his friend, but that was the implication as he struggled before the cameras to make sense of it all.

“Look, I’ve just known them for a long time,” he concluded, his voice starting to choke. “I obviously didn’t know him as well as I thought.”

More from TODAY Child star admits killing couple | Images Woods subbing ‘diaper bingo’ for golf |    Can I marry my friend's ex-lover? 6 tips to 'recession-proof' your relationship   Here come the brides on ‘Runway’ Once heckled as ‘fatso,’ she lost 177 lbs. Makeover! Nurse gets Rx for savvy style   Week in pictures | More photos

MORE FROM PEOPLE

People Section Front

Child star admits killing 2 for yacht Slide show: Ex-child star on trial for murder Woods subbing ‘diaper bingo’ for golf Teen recounts horror of sex slavery ‘Breast cancer saved my life’ ‘Coward’ skydives over Mount Everest Woman is shot in the leg by her stove Does prison loom for mortgage execs? Shock! He survived lightning at gas pump Ex-fiancé to Caylee’s mom: ‘Stop lying’ People Section Front   Add People headlines to your news reader: