The No More Drama singer says she was in Miami when she heard that the British star had died at her London home in July.
'When I got the text about Amy, I was lying down on the bed,' Blige says in an interview with Ebony magazine.
'I got up and read the message about her death and just lay back down again. I kept getting up and laying back down for some reason.'
And the 40-year-old star admits: 'I'd always wanted to work with Amy, so I just couldn't believe it, really.'
In the past, Blige – who is currently promoting her new album My Life II: The Journey Continues, which is the sequel to her multi-platinum selling 1994 album My Life – has openly discussed her own struggles with substance abuse.
She tells the magazine that she is in a happier place these days, but admits that Winehouse's death at the age of 27 affected her for another reason.
'And then it hit me,' she says. 'That could have been me. That really could have been me!'
Blige, who was sexually abused at the age of five, made her name in the 1990s singing about the turmoil in her life.
'Those were the real dark days,' she says. 'I was so depressed and really had no idea why. But that's how people got to know me. I didn't care if I lived or died, but people still wanted my music to hear my story. It was a strange place to be.'