She added that Diana "adored" her own sons and Sarah's daughters, Princess Beatrice and Princess Eugenie.
"Diana adored my girls. She adored the boys. This would be her haven. Her heaven," Sarah said.
She and the Princess of Wales grew up together and were fast friends from their teenage years, into their royal lives and through painful divorces. Although their friendship didn't come without its challenges, Fergie has nothing but kind words for her late friend.
Recalling their robust relationship, Sarah said Diana taught her so much about life in the public eye, something both women struggled with when they married into the monarchy.
Why Princess Charlene still can't return to Monaco
Princess Charlene of Monaco has been in South Africa for well over a month now, unable to return home to her children due to a painful illness. She was even separated from her husband, Prince Albert II of Monaco, for their tenth wedding anniversary. Princess Charlene of Monaco has been stuck in South Africa for months now, unable to return home to her children due to a painful illness. She was even separated from her husband, Prince Albert II of Monaco, for th And it's been weeks since she saw their two children, six-year-old twins Princess Gabriella and Prince Jacques, face-to-face.
Sarah remembered: "She was so brave. We used to have the most incredible time together."
Tragically, Diana never got to see her sons grow up and become husbands and fathers.
She died over 20 years ago in a horror car crash in Paris on August 31, 1997, her death sending shockwaves out around the world.
Though her sons have worked hard to honour their mother's memory and legacy, both have opened up in the past about how deeply her death affected them.
"Every day, we wish she were still with us," the brothers said in a rare joint statement," in June.
They reunited in the UK to mark what would have been Diana's 60th birthday, unveiling a statue of her in the gardens of Kensington Palace.
Just a few months earlier, Harry had penned in the foreword of a book: "When I was a young boy I lost my mum.
"At the time I didn't want to believe it or accept it, and it left a huge hole inside of me. I know how you feel, and I want to assure you that over time that hole will be filled with so much love and support."
Princess Diana's niece Lady Kitty Spencer says 'I do' to Michael Lewis in Italy .
Princess Diana’s niece Lady Kitty Spencer has tied the knot. The 30-year-old fashion model married Foschini Group chairman Michael Lewis, 62, in a private ceremony in Rome this weekend, according to the Daily Mail. While the couple made headlines with their engagement last year, it appears they tried to keep their nuptials under wraps. However, social media posts shared by famous attendees like TV personality Mark Francis Vandelli and PR mogul Simon Huck clued fans into the big day.