Gary McAllister said he “turned to jelly” when he discovered Gary Speed had died.
Speed died at his home on the outskirts of Chester yesterday, 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 BBC1's Football Focus on Saturday lunchtime.
The Scot said yesterday: “Alan Shearer broke the news to me and it turned me to jelly. 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 admitted 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.
“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.”
Meanwhile, The Football Association of Wales (FAW) have opened a book of condolence after being inundated with messages of support following Speed’s death.
Tributes have poured in for the former Leeds, Everton, Newcastle, Bolton and Sheffield United midfielder and fans will be able to go to the FAW headquarters in Cardiff to leave their tributes.
FAW chief executive Jonathan Ford said that the organisation had received messages from Uefa and Fifa, with the Welsh flag at Fifa House flying at half mast.
A visibly emotional Ford said: “We have had hundreds of messages, my phone hasn't stopped with messages from everyone involved or not involved. It has touched everybody.
“We have had messages from family, friends have called, professional people have called, and they have all been heartfelt messages from people who may only have met Gary a couple of times, which showed the mark of the man.
“He was such a great person and he is such a loss. We have a book of condolence available at FAW headquarters and there is an area set aside for fans to leave flowers. Our door is open and we are trying to do everything we can at this terrible, terrible time.
“We have received letters from Uefa and Fifa and our letter from Sepp Blatter said that the Welsh flag is flying at half mast at Fifa House.”
In his letter to FAW president Phil Pritchard, Fifa president Blatter wrote: “Gary Speed was a hugely talented player and a great servant for both club and country who will be greatly missed.
“He will always be remembered as a model professional and a fantastic ambassador for the game. Having attended the draw for 2014 Fifa World Cup Brazil qualification, it was clear to all there that he was a man who exuded enthusiasm and passion for the game.
“I would like to offer my deepest condolences on behalf of Fifa and the worldwide family of football to you, the Football Association of Wales, his wife Louise and their two sons, as well as Gary Speed's friends and family.
“I hope the knowledge that we are all thinking of them can provide some solace in this time of deep sadness.”
As the football world mourns the death of Speed many players and fans have been left asking 'why'?
But Ford says he is unsure if the circumstances around Speed's death will ever be known.