The 22-year-old American model and 24-year-old British singer wore a number of androgynous looks for the magazine's August issue, which celebrates gender-bending trends in the fashion industry.
"It's not about gender. It's about, like, shapes. And what feels good on you that day. And anyway, it's fun to experiment," Hadid told the publication.
Hadid said she borrows clothes from Malik "all the time," including an Anna Sui t-shirt that fits "tight" on the singer. Malik explained it "doesn't matter" which gender his clothes were made for as long as he likes what he's wearing.
"If Zayn's wearing a tight shirt and tight jeans and a big, drapey coat, I mean -- I'd wear that, too," Hadid added. "It's just about, Do the clothes feel right on you?"
"With social media, the world's gotten very small and it can sometimes seem like everyone's doing the same thing," Malik said. "Gender, whatever -- you want to make your own statement. You know? You want to feel distinct."
Photographers Inez van Lamsweerde and Vinoodh Matadin shot Hadid and Malik for the issue. The model said in an Instagram post Thursday that it was a "great honor" to appear on the cover with Malik.
"It will forever be a great honor to cover @voguemagazine .. but I felt extra grateful and proud to stand beside my [heart] @zayn !!" she wrote. "@inezandvindooh we are always humbled to be in front of your lens, and we beyond thank you, Anna, @tonnegood and everyone else who made this a reality for us! A dream."
Hadid and Malik, a former member of the boy band One Direction, were first linked in November 2015. Malik told the Evening Standard in June that he and Hadid are a "normal couple" who enjoy cooking and watching TV.