When asked about giving each other advice about their place in the media spotlight, Williams continued, "We have known each other for a long time, but we really kind of are relying on each other right a lot recently."
The two reportedly met back in 2010 and have been close friends ever since. And this year, both women have had highs and lows that put them under intense scrutiny in the public eye.
Markle has been navigating her new life as a Duchess, after her wedding to Prince Harry in May. Williams was a guest with her husband Alexis Ohanian at the ceremony, and praised its impact on the world.
"To have such a monumental moment in England, nonetheless of all the places, I felt like we were literally watching history," she said in the interview. "I feel like in a few years we are going to look back at that moment and it's going to be so historic. It's going to be something that people never forget. The whole service was really wonderful, and most of all I just wanted to see my friend be happy. And I think that's what happened."
But even with the wedding's momentous nature, Markle has been plagued by her father, Thomas Markle, continuing to speak to the press. A source told ET last month that Markle has been dealing with her father -- as well as her half-sister, Samantha -- speaking out negatively about the royal family by surrounding herself with a close group of friends and Harry. Among those friends are Williams and her best friend and stylist, Jessica Mulroney.
"Meghan doesn’t have a huge circle of friends and the recent weekends with Serena and Jessica were just what she needed,” the source told ET in August. “The stress of her father’s continued indiscretion is upsetting but she’s coping with it the best way she knows how with the support of her husband and BFFs.”
Williams faced her own drama earlier this month, having to defend her heated reaction to receiving several violations during the Women's U.S. Open Final. During the interview on The Sunday Project, Williams refuted claims that her coach, Patrick Mouratoglou, was coaching her from the stands and said that she was treated unfairly by the umpires as a woman.
"If you're female you should be able to do even half of what a guy can do, and I feel like right now we are not, as it's proven, in that same position," she said. "But that's neither here nor there, I'm just trying to recover from that and just move on."
Regardless of the highs and lows, Williams and Markle continue to support each other. See what the tennis pro had to say about her friend earlier this year in the video below!