"Nothing was jaded about him," the 44-year-old actress told Rolling Stone magazine for a special commemorative issue about the King of Pop, on sale Friday.
Shields said the two became close since sexuality wasn't a part of their friendship. She describes her young self as "the most celebrated virgin ever" at a time when women "wanted to throw themselves at (Jackson) and feel like they were going to teach him."
Shields said that as Jackson grew up, "the more asexual he became to me." But he was curious about her early relationships.
"He was like a little kid who talked about the bases — what first base was, what second base was," Shields said. "It sounded very odd to the outside, I can imagine, but to the inside, to someone who's never really left his bubble, you can understand how he would be curious."
Shields said she last saw Jackson in 1991, at Elizabeth Taylor's most recent wedding.
"We snuck in and took pictures of ourselves next to her dress," Shields recalled. "We always seemed to revert to being little kids."
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