The 38-year-old actress shared advice from Gandolfini, her former Sopranos co-star, during Wednesday's episode of Watch What Happens Live.
Sigler played Meadow Soprano, the daughter of Gandolfini's character, Tony Soprano, throughout The Sopranos' run. Sigler said Gandolfini encouraged her to know her worth.
"One of the most special ones he told me was whenever I go into an audition or meeting, to remember that it's my time, not their time. To own that time, to feel confident that they're lucky that I'm there in front of them," Sigler said.
"He just taught me to have a lot of confidence in myself in general," she added of Gandolfini, who died at age 51 in 2013. "He was the best."
The Sopranos aired for six seasons on HBO from 1999 to 2007. Dominic Chianese, Drea de Matteo and other cast members celebrated the show's 20th anniversary at a fan convention in New Jersey in November.
On WWHL, Sigler also discussed the Sopranos series finale, saying she wouldn't change anything about the divisive episode.
"I think it ended perfectly. Whether [Tony] died or not, people would have been upset or not satisfied, so I think it left it for everyone to have their own perfect ending," she said.
Sigler will next star in the movie Mob Town, which opens in theaters Friday.