The Duchess of York was once a close friend of the late princess and the pair had known each other since their early teens.
Diana tragically died in a car crash in 1997 and did not get to see Prince William or Prince Harry marry.
Speaking to People, she explained: “If she were sitting with me right now, I know she would say, ‘I am so proud of both of my boys and the wonderful wives they have chosen.
“Because each has got her own voice.
“And she would be just like me, obsessed with her grandchildren. Because that’s what she loved. Diana adored my girls. She adored the boys. This would be her haven. Her heaven.”
In the days when Sarah was married to Prince Andrew and Diana to Prince Charles, the two women were often seen together and both official and casual events and even on holiday.
Sarah added that she and Diana were “best friends” from when she was 15 and the princess was 14. And she credits Diana with teaching her about public life.
At the time of Diana’s death, it was reported that the pair had not been on speaking terms for a year.
In her tell-all book, Finding Sarah, the Duchess claims she never knew the reason for the falling out but said “once Diana got something in her head it stuck there for a while”.
In the interview, she addresses these claims and says they had promised each other they would “always be together”.
It’s not the first time that Sarah has addressed rumours of tension between herself and Diana.
In an open letter published in Hello!, she wrote: “Women, in particular, are constantly pitted against and compared with each other in a way that reminds me of how people tried to portray Diana and me all the time as rivals, which is something neither of us ever felt.”
While in 2018, she spoke of how she thought of Diana during her daughter Princess Eugenie’s wedding.
She told MailOnline : “I thought of absent friends and family; of Diana – but she is with me all the time.”