The interview marked the first time Sessions was questioned, although not under a subpoena, and the first time investigators spoke to a member of the president's Cabinet about the case.
The attorney general was accompanied to the interview by Washington attorney Chuck Cooper and was questioned for several hours, USA Today reported, citing Justice Department spokesman Ian Prior.
Mueller's team also is examining whether Trump obstructed justice when he dismissed former FBI Director James Comey last year.
The United States' top law enforcement officer, Sessions recused himself last year from all matters relating to the Russia investigation -- a move criticized by Trump, who said he shouldn't have removed himself.
The recusal followed revelations that Sessions met twice with Russian diplomat Sergey Kislyak in July and September 2016.
Sessions also was a part of a March 2016 meeting at the Trump International Hotel in Washington, D.C., where former foreign policy adviser George Papadopoulos pitched the idea of a personal meeting between Trump and Russian President Vladimir Putin.
Two weeks ago, former White House chief strategist Steve Bannon was subpoenaed by Mueller to testify before a grand jury. Mueller, though, is expected to forgo the grand jury appearance and question Bannon instead.