The 41-year-old British actress discussed her longtime friendship with the 42-year-old American actor in an interview for the October issue of Glamour U.K.
"You don't even want to know the last conversation we had, because it was so funny and made me laugh so much. We found ourselves saying to each other, 'Can you imagine if the world really knew the stupid things we say?'" Winslet told the magazine.
"I'm not going to tell you what we actually talk about, but yeah, we're very, very close and sometimes we do quote the odd Titanic line back and forth to each other, because only we can, and we find it really funny," she confessed.
Winslet and DiCaprio played ill-fated lovers Rose Bukater and Jack Dawson in Titanic, with Billy Zane as Rose's villainous fiancé, Cal Hockley. The trio reunited at DiCaprio's annual Leonardo DiCaprio Foundation dinner in July.
"Gangs back together. Now we're saving icebergs. Go figure," Zane joked of the event, which raised funds for environmental causes.
Winslet and DiCaprio also co-starred in the 2008 drama Revolutionary Road. The actress said during an appearance on Jimmy Kimmel Live! in February 2016 that fan enthusiasm for their films has been "lovely."
"People are always so excited to see Leo and myself in the same space, which, you know, at the end of the day, that's so lovely, isn't it?," she said. "It's been 20 years [since Titanic]."
"It's really quite endearing," the star added. "And we do laugh about it. We were giggling about it last night. People still get so overwhelmed with the Jack and Rose thing."
Winslet will next star in The Mountain Between Us with Idris Elba.