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Casey Anthony's parents -- grandparents to Caylee Anthony -- have given their first to Dr. Phil McGraw, and a preview of it aired on Today Monday morning.

Casey Anthony was acquitted of murdering Caylee about two months ago. She's currently living in an undisclosed location in Florida.

Dr. Phil asks George and Cindy Anthony about why they didn't report Caylee missing to the police sooner, and if they believe Caylee's body was the reason of the now infamous smell in their daughter's car. Said George: "Do I want to believe Caylee was back there? I don't want to believe it. I'm going by what the investigators have told me."

Dr. Phil told Matt Lauer of the interview, "It's so hard for parents to wrap their mind around ... that their own child could do something so horrific."

The full interview airs Tuesday and Wednesday on Dr. Phil.