The 41-year-old British actress denied she ever had a crush on the 42-year-old American actor while appearing on Tuesday's episode of Lorraine.
"Luckily, and this is the fortunate thing, we never fancied each other," Winslet told host Lorraine Kelly. "I know that's really annoying to hear, but we really never did."
"It did mean that we were just able to have this [friendship] and be able to tease each other, which we still do," she added. "It's really amazing."
Winslet said she and DiCaprio formed a long-lasting friendship as they played ill-fated lovers Rose Bukater and Jack Dawson in the 1996 movie.
"We did [click]. I think for Leo and I, it was seven months of very intense work. We were both really very young," she reflected.
Winslet previously discussed her friendship with DiCaprio in the October issue of Glamour U.K., telling the magazine she remains "very close" pals with the actor.
"You don't even want to know the last conversation we had, because it was so funny and made me laugh so much," the actress gushed. "We found ourselves saying to each other, 'Can you imagine if the world really knew the stupid things we say?'"
"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 shared.