The 39-year-old actor said he made a lifelong friend while filming the blockbuster, reported Contactmusic.
"She's the greatest person. She's so genuine. I love that girl. She has a brand-new baby and is in love," DiCaprio said.
The two also starred in 2008 film 'Revolutionary Road'.
While Winslet just gave birth to her third child, Bear, a year after marrying her third husband Ned Rocknroll, DiCaprio's love life has gone in a very opposite direction as he remains one of the most-eligible bachelors in Hollywood.