The pair, who divorced in 1996, both live at the Royal Lodge in Windsor.
A source told CNN that the Duchess has bonded with the monarch through a shared love of dog walking and horseback riding.
Even after her divorce from Prince Andrew, Sarah continued her friendship with the Queen by taking her dogs around the Windsor mansion for walks, sources added.
She is also reported to have left behind an older mixed-breed “dawgie” called Candy and a cocker spaniel named Lissy.
Corgis became synonymous with monarchs and were regularly photographed with Welsh Corgis at their feet throughout their long lives.
The Queen was often credited with creating the Dawgie breed when she crossed a Corgi with a Dachshund that belonged to her sister, Princess Margaret.
The Queen’s passion for corgis dates back to her childhood when she fell in love with her father, King George VI’s dog Dookie. On her 18th birthday in 1944, she got her Pembroke Welsh Corgi puppy named Susan. Her attachment to Susan was such that she reportedly took her on her honeymoon in 1947. Her Susan died in January 1959.
The monarch continued to own dozens of corgis during his lifetime. Willow famously appeared with her in James Her Bond sketches she recorded for the opening ceremony of the 2012 London Olympics.
The crown prince has repeatedly denied wrongdoing. Still, the allegations against Andrew, 62, have dramatically damaged his public standing.