Gary McAllister said he "turned to jelly" when he discovered Gary Speed had died.
Speed died at his home on the outskirts of Chester on Sunday, with sources confirming he was found hanged.
McAllister played with Speed at Leeds, helping the team to the Football League title in 1992 - and the pair appeared together on television programme Football Focus on Saturday lunchtime.
"Alan Shearer broke the news to me and it turned me to jelly," McAllister said. "I couldn't believe what he was saying. It shook me to the bones, I was in shock for most of the day.
"Twenty minutes before we went on air on Saturday, he was the normal Gary Speed to me. He was very excited about the prospects of the Welsh national team and was upbeat, looking class, immaculately presented. He was a movie star in my eyes.
"With no competitive Wales games until February we were talking about getting some golf organised. There were no signs, nothing to suggest he was troubled. He looked well and things are going well for him at the moment. I could never have thought that 10-12 hours after I saw him I'd be getting that news. It's a nightmare.
"After (Football Focus) he was talking with Alan and they were discussing some black tie charity event which was coming up in the near future. I couldn't see anything in Gary that suggested he was depressed or had any feeling of anxiety. He was just the Gary Speed that I know."
McAllister also said Howard Wilkinson - Speed's boss at Elland Road - and former team-mate Gordon Strachan are "broken" by the news.
He continued on Sky Sports News: "Gordon took him under his wing and Howard couldn't believe it when the news broke... he was like a father figure, looking after him (at Leeds) when he left his home in Wales as a young apprentice, moulding him into the man he was.
"He was just emerging as I arrived at Leeds. He was the first on to the training ground and the last off it - he just had a love of the game. He bought into Howard Wilkinson's way and was always willing to listen and improve. He was an Everton fan but as a young apprentice at Leeds he had the desire and hunger to play.
"I think he was an ever present the year we won the league. It was a privilege to play alongside him."
McAllister said the success the pair shared at Leeds meant there was "a unique bond" between them.
He continued: "Sometimes you don't see each other for five or six months but there was a unique bond and camaraderie there... the banter and craic was still there.
"I'm still very much in shock. We've had some friends over - nothing to do with football, mutual friends of Gary - and we were all just hit so hard by this. He reached everybody - he was a proper man."
The 46-year-old also revealed he had spoken to Speed's father, Roger, adding: "It wasn't a case of going into detail, just to say the support from our part of the country is here. The family need space and need to do their own private grieving. He was a guy we all loved."