Anthony Radziwill passed away in August 1999, nearly a month after John Jr. and Carolyn Kennedy died in a plane crash.
Before their deaths, Carole says the two couples would have dinners. "It was almost like John was frantically trying to create memories," she says.
The two men, first cousins, were as close as brothers, Carole says, and that included a lot of practical jokes. "You never wanted to be at the other end," Carole says.
"They trusted each other, they confided in each other, they teased each other, but they loved each other. The kind of love that doesn't have to express itself all the time, you just knew it," Carole says.
Click play on the clip above to see vintage Kennedy-Radziwill home movies.
Biography: JFK Jr. The Final Year airs Tuesday, July 16 at 9 p.m. on A&E to mark the 20th anniversary of JFK Jr.'s death.