The Bravo star also penned an essay where she recalled the friendship she had with both John Jr. and his wife Carolyn.
In an E! News preview for A&E's upcoming special, "Biography: JFK Jr. The Final Year," which drops on the 20th anniversary of his death, the former "The Real Housewives of New York" star shared memories of John Jr., who tragically died in a plane crash in July 1999.
Carole, who is the daughter-in-law of Jackie Kennedy's sister Lee Radizwill, married Anthony in 1994. After a years-long battle with testicular cancer, Anthony passed away in August 1999, nearly a month after John Jr. and Carolyn Kennedy's death.
"He was complicated," Carole said of JFK Jr. "Based on his upbringing, what he went through, John is very stoic, so when it came to Anthony's illness, he had blinders on. And for a long time, he would not really acknowledge that Anthony was going to die from the cancer. He blocked it out for a long time. You know, 'cause John wasn't, like, a sad person...he was, you know, 'buck up'."
Carole recalled John Jr. planning many dinners with the two couples and said although John Jr. and Anthony were cousins, they were as close as brothers.
"It was almost like John was frantically trying to create memories," she explained. "They trusted each other, they confided in each other, they teased each other, but they loved each other. The kind of love that doesn't have to express itself all the time, you just knew it."
On Monday, in honor of the upcoming anniversary of JFK Jr's death, the Bravo star penned an essay for the Daily Mail, where she recalled the friendship she had with both John Jr. and his wife Carolyn, the relationship with her husband and the days leading up to their deaths.
"It was a simple accident," she wrote of John Jr and Carolyn. "A single engine plane fell out of the sky into the ocean. The pilot was my husband's cousin, John Kennedy, his passengers were his wife Carolyn, and her sister, Lauren. Three young, bright, people with promising futures."
Carole went on to discuss the pain of losing Anthony, less than a month after passing of John Jr. and Carolyn.
"All four of them gone when they were just beginning to form lives," she wrote. "At an age when people lock in careers or start families, find their faith, their purpose, their bliss. Gone when all those life markers were still sorting out."
"The pain of losing them, once so acute it was unbearable, has eroded over time," she continued. "Somewhere along the way their deaths became a thing I am able to live with. They inhabit my memory as their forever 30-something selves, while I turned 40 and then 50 and now 55."
"Nothing has changed and everything has," Carole added. "I left a career to start a new one, and then another. I found new friends, lost others, moved across the country, across the ocean, had crushes, love, and petty feuds. They still hold court in a nostalgic back room where they haven't seen any of it. No milestones, no soft jokes about the inevitable slights of age."
Carole went on to recall the dinner plans she and Anthony had with Carolyn and John Jr. two days after what would be their death.
"Anthony and I would see them, in their house on the Vineyard where we were staying, in 48 hours," she wrote. "The plan, for July 18, was grilled steaks and peach pie."
Carole concluded the essay by expressing her sadness of losing her friends and husband within a span of three weeks.
"Lives, and promise, cut short," she said. "All of them in three cruel weeks. Carolyn Bessette Kennedy, John F. Kennedy, Jr., Lauren Bessette. And my husband, Anthony Stanislas Albert Radziwill."
She added, "For all the time I'd had to brace myself, prepare for it, Anthony's death, too, still seemed so abrupt and unfair, just like the others. Because ... we just weren't done."
To read all of Carole's heartbreaking essay, click here.
"Biography: JFK Jr. The Final Year" airs Tuesday, July 16 at 9 p.m. on A&E.