The Material Girl told the world of her grief after hearing of the "Thriller" hitmaker's death last week, confessing to fans that she couldn't stop crying in the hours following his passing.
The tragic demise of her most famous contemporary came as an extra shock as she was putting plans in motion to make a special appearance at Jackson's London comeback gigs.
But the star will never have the chance to perform with Jackson -- admitting it is a devastating blow as she has always looked up to him.
She tells Britain's The Sun newspaper, "I am so terribly sad about Michael Jackson's death. I don't know what artist wasn't inspired by him.
"To be able to do what he did at such an early age was unearthly; everybody grew up in awe of him."
Madonna looks back on her short-lived friendship with Jackson in the early 90s with fondness -- insisting she loved to "pick his brains" about his musical talents.
She explains, "To work with him and become friends and hang out with him was exciting for me. I used to love picking his brains about musical stuff."
And Madonna recognizes that she became a completely different person to Jackson despite similarities in their phenomenal success -- blaming his tireless entertaining schedule when he was just a child.
She adds, "Obviously, we have very different personalities -- he was a lot more shy than I am. That's because I was allowed to have a normal childhood and he wasn't, so there was a vulnerable side to him that made you want to take care of him and protect him."
However, Madonna insists she will always remember both sides of Jackson -- admitting that the star completely changed when he stepped off stage.
She says, "He was a real paradox, one of the world's greatest performers and obviously very confident on stage, but in real life he was shy and you really felt for him."
Madonna will pay tribute to Jackson by involving a Jackson lookalike in her Sticky & Sweet tour when it returns to London's O2 Arena on Saturday.
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