Talking to the Radio Times, the professional boxer recalled watching the TOWIE star need medical help after falling unconscious and breaking his ribs.
She said: "It was horrible because me and Pete grew really close, we had a really great friendship and I was actually in the helicopter looking down at his body when he was just floating in the sea.
"So it was terrifying for me."
Courtenay also talked about a pact she made with the reality star saying that they had agreed to help each other through the gruelling training experience. She said that Wicks sought her out before leaving the show to make sure she was the first to know.
Courteney said the series did not show her reaction to Wicks being forced to leave the show: "They didn't show it on the show but I was absolutely devastated. He was such a good friend of mine, I was just gutted to see him go. And he was devastated as well, because he really didn't want to go out that way."
Wicks was forced to pull out of the competition due to the injuries he suffered after jumping from the helicopter, namely breaking his ribs.
Love Island star Amber Gill also exited the compeition last night (12 September) after falling behind during a crawl through the desert.
Courtenay remains in the competition alongside the likes of reality star Calum Best, former sprinter Dwain Chambers and actor Jennifer Ellison.
Watch below: Kerry Katona reveals making Celebrity SAS: Who Dares Wins was like therapy.