The 35-year-old star has praised the 36-year-old actor - who she starred alongside in 1997 movie 'Titanic' and 2008's 'Revolutionary Road' - for supporting her through her recent split from her husband Sam Mendes and his general companionship.
The Oscar winner accepts many friendships between men and women begin with a sexual undercurrent but with her and Leonardo it's always been platonic and based on mutual respect and shared experiences.
She told Vogue magazine: "He knows me better than anyone else in the world.
"Lots of male friendships begin as a cheeky snog. Or a little undercurrent of flirtation. But Leo and I? No. He's my rock.
"I don't know what the f**k I would have done if I hadn't had him."
Leonardo believes the pair are so close because they have "grown up together" and always been there for each other.
He said: "We literally grew up together. And in every major life event we've been there as a support mechanism for each other."
Although Kate is appreciative of Leonardo's Friendship, she insists she can get by on her own because she is a "very strong" person thanks to her children Mia, 10 and Joe, seven.
She said: "I am very strong. When you have children, you have to be. I'm not a believer in hiding things from my kids because ultimately they are going to have questions - they feel things."