Kristina Keneally has not ruled out taking legal action against her employer Sky News after her colleague and fellow former politician Mark Latham called her an "Obeid protege" on air.

Keneally has made similar complaints to various media outlets before over similar assertions, which she told PS were "absolutely defamatory", explaining her first port of call in all cases has been to lodge a formal complaint before considering legal action.

So far she has not needed to sue.

Latham, a former federal Labor leader, alleged on television show Jones & Co on Tuesday night that Keneally, a former Labor premier of NSW, was a protege of the former NSW Labor powerbroker. The show has now been removed from Foxtel's catch-up streaming service.