However, to the dismay of fans, the actress said that her relationship with DiCaprio has always been platonic.
"I think the reason that friendship works is because there was never any romantic thing. It’s so disappointing for people to hear that, because in the soap opera of the Kate and Leo story we fell in love at first sight and had a million snogs, but actually we never did," she told Marie Claire U.K. "He always saw me as one of the boys; I’ve never really been a girly-girl. We needed each other to lean on because we were very young and working all kinds of crazy bloody hours and it was a shock to the system."
Now that both stars are nearing 40 -- DiCaprio's big birthday is later this year, while Winslet will turn 40 next October -- she's looking ahead to their next chapter as pals. However, she's not planning to celebrate with her longtime friend.
"He wouldn’t have a joint party with me, he really wouldn't. Definitely not. He likes to have his moments," she said. "But, also, I don't think I'd want to have a joint party with him, more to the bloody point!"