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The actor made the comments after they filmed new movie Revolutionary Road, a 1950s-set romantic drama directed by Winslet's husband Sam Mendes. The pair first paired up on screen in 1997's Titanic.
DiCaprio told The Independent: "Kate has remained one of my closest friends and is the best actress of her generation.
"Kate and I knew we could push each other's buttons, performance-wise, and knew we could pull stuff out of each other. We've known each other since we were almost teenagers. So [Revolutionary Road] was something that I jumped at the opportunity to do."
DiCaprio and Winslet play a married couple struggling in post-war America in the film, which opens in the UK on January 30.
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