The 62-year-old singer started working with the late icon in 1984 on his album 'Purple Rain', and she relished the experience of being in the studio with the chart-topping star.
She said: "He was inspired by the people he hung around and that's what was so cool, he didn't hang around the same type of people all the time.
"The point of growing as an artist and as a person is opening yourself up to other things."
Sheila explained that through their recording sessions, they managed to create hundreds of songs that have never been heard by fans.
She told the Guardian newspaper: "Since I met him, we started jamming and never stopped until a couple of years before he passed.
"There was so much music. There were years and years and years of being in the studio with him all the time."
Prince died in April 2016 due to an accidental overdose of painkillers, and Sheila still feels angry about his passing at the age of 57.
She said: "I'm mad that he's not here. I'm angry at him, and I'm thinking: 'What could I have done?"
Meanwhile, Sheila has also voiced her support for the Black Lives Matter Movement amid ongoing unrest in the US.
The singer thinks the time has come for people to "speak up" about racial injustices.
She explained: "I think we have a better chance this time of really making a difference.
"This is the time. There is so much injustice, there's a lot of brokenness, things that need to be fixed and changed. This is the most important time to speak up, because we have the opportunity to change history. There's a lot to be done."