"Harry is the one I'm closest to. I made friends with him before I know who the band was," Sheeran said.
Sheeran, 21, said he is also close to Styles' former girlfriend Taylor Swift but has ruled out a romantic relationship with her.
"We met by just being fans of each other and reaching out. Then we just started hanging out. We have the same kind of work ethic. But I don't know if I'm her type," he said.
However, the 'A Team' hitmaker said he would love to date actress Emma Stone, who is currently in a relationship with Andrew Garfield.
"Emma Stone is my dream girl but she's all taken so I need to find someone else."