Inside RHONY Star Carole Radziwill's Friendship with JFK Jr. & Carolyn Bessette: 'We Were All Unbelievably Close'

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Fans know and love Carole Radziwill from The Real Housewives of New York City. But some may be surprised to learn that the former Bravo star has ties to America's most famous first family — the Kennedys.

Carole was married to Anthony Radziwill — John F. Kennedy Jr.'s maternal cousin and best friend — from 1994 until Anthony's death in 1999. Anthony, the son of socialite and actress Lee Radziwill (the younger sister of First Lady Jacqueline Kennedy Onassis) and Polish Prince Stanisław Albrecht Radziwill, died at 40 from cancer.

The former Carole DiFalco grew up in a boisterous family in the N.Y.C. suburb of Suffern, N.Y., and eventually made her way to Manhattan, where she rose from unpaid intern to producer at ABC. It was there that she met Anthony, then an ABC associate producer, in 1990.

The couple dated for two years before Carole met Anthony's mother, Lee. Carole learned to fit in, make dinner-table conversations with movie moguls and art-gallery owners and enjoy the perks of Anthony's privileged circle.

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In 1992, the two rented a summer home in the Hamptons, along with Anthony's cousin, JFK Jr. One morning, in his underwear, Kennedy walked into the kitchen, extending a hand to Carole. "Hi, I'm John Kennedy, Anthony's better half."

"I never heard him introduce himself as 'John F. Kennedy Jr.' in the 10 years that I knew him," Carole told PEOPLE in 2005. "He was just 'John Kennedy.' " During that trip, Carole also met Kennedy's future wife, Carolyn Bessette Kennedy, and the two became instant friends.

"She was very friendly," recalled Carole. "She came right over to me as though she knew me and put her hand on my shoulder and asked if I had an extra toothbrush."

The next summer Anthony — who had recovered from testicular cancer a few years earlier — found a lump on his right side. He was eventually diagnosed with fibrosarcoma, a potentially fatal form of bone cancer. Four months later he proposed to Carole. "I think it was important for him to get married after [his diagnosis]," she said. When the two wed in 1994, Kennedy was Anthony's best man. Anthony would later return the favor, serving as his cousin's best man when he married Carolyn in 1996.

Anthony soon began receiving treatments to stop the spread of the cancer, and his new wife Carole stood by him through a litany of major surgeries and countless rounds of chemotherapy.

Their biggest supporters throughout the ordeal were JFK Jr. and Carolyn, Carole said.

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"When they were kids, John was always the one who joked with Anthony and could make him laugh. So his way of dealing with the cancer was to continue being funny," Carole recalled in a 2005 interview with The Telegraph. "He thought it would cheer him up, and it did. But he also told me that he was afraid that if he stopped joking, Anthony would know things were really bad and would just give up and die."

But in a tragic twist of fate, JFK Jr., Carolyn and her sister Lauren Bessette were killed in a plane crash on July 16, 1999 — just weeks before the death of Kennedy's beloved cousin.

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Carole spoke to PEOPLE in June 2017 about the harrowing evening that the plane JFK Jr. was piloting disappeared on the way to Martha's Vineyard.

She recalled receiving a late-night call from Kennedy's friend "Pinky," who was at the Martha's Vineyard Airport awaiting the couple's arrival.

As previously detailed in What Remains, her memoir about her marriage with Anthony, Carole said she used her investigative journalism background to piece together what had happened. After a few hours of making calls, Carole touched base with air-traffic controllers at the New Jersey airport from which JFK Jr., Carolyn and Lauren departed, soon realizing she had to report the trio as missing to the Coast Guard around 2:30 a.m.

WATCH: Would JFK Jr. Have Run for President?

"Once I said that out loud to the Coast Guard and made the missing persons report, I knew that this was a real thing," Carole told PEOPLE. "That was a heartbreaking moment."

As a search and rescue team took over, Carole was dismayed to hear her dear friends being referred to in past tense through television coverage and even called ABC News to voice her displeasure. But it wasn't long before John's and the Bessette sisters' bodies were found in the Atlantic Ocean.

In her memoir, Carole recalled how Anthony, then in the terminal stage of his disease, "sat at the kitchen table and folded his arms to support his head, and then dropped it down and cried. It was the first time I'd seen him like that."

Three weeks later at a New York hospital, Anthony died in Carole's arms. "I listen to [his] heartbeat until it is so faint I can barely hear it," she wrote in her memoir, "and then it's gone."

The three deaths were "soul-crushing" for Carole, she told The Telegraph in 2005. "We were all unbelievably close. Their deaths brought me to my knees."

Decades later, Carole holds her friendship with JFK Jr. and Carolyn close to her heart. She still misses Carolyn "after all these years," and fondly recalls how her close friend was often at her side when Anthony was sick in the hospital.

"Carolyn was not a fair-weather friend," Carole told PEOPLE in 2017. "Whether things were going great or things were going terribly, she would be there for you.  She swooped in and made all of the hundreds of hospital stays and doctors visits bearable. And she really was there for both of us nearly every day that last year of [Anthony's] life."