The two, who have been friends for over 40 years, say their deep bond is due to a lack of jealously over each other and a genuine happiness for their respective achievements.
In a video posted to Oprah Daily, the two sit side by side.
"Gayle and I have been friends since we're 21 and 22. Now we're 66 and 67," Winfrey said.
King quipped that Winfrey is the older one.
"Surround yourself with someone who is as happy for your happiness as you are for your happiness," Winfrey said, explaining that King is truly happy for her when good things come her way.
"You need friends that are happy in their own lives so that they can actually be authentically happy for you," Winfrey added.
King said the only time she ever wanted to do something that Winfrey was doing (and it wasn't jealously, she explained) was dance and sing live on stage with Tina Turner.
In a caption for the video, it says the two share the same values "and a little bit of humor."