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Tim Graham/Getty Images Princess Diana and Sarah Ferguson
Sarah, whose title is Duchess of York (and who is popularly known as Fergie), appeared on The Kelly Clarkson Show following the release of her new novel, A Most Intriguing Lady. She had both the host and actor Ike Barinholtz cracking up as she recalled her eventful hen party, the British equivalent of a bachelorette party, ahead of her 1986 royal wedding to Prince Andrew.
Ferguson, 63, said she and Princess Diana were dressed up in cop costumes for a night out at a club — and a photo showed the pair sporting uniforms with matching caps (and Diana in a pair of black frame glasses) with drinks on the table in front of them.
"We sat down, and the waiter came up to us and said, 'Excuse me, this is a members club. And it's for fun, and we don't serve police officers here,' " she explained.
"They thought you were real police officers?" Clarkson asked, to which Sarah replied, "Yes!"
The Kelly Clarkson Show Princess Diana and Sarah Ferguson
When they left the club, Princess Diana broke character when she saw a woman wearing a dress she had. Then, the pair were arrested for "impersonating police officers" and even put in the back of a police van. But when Princess Diana noticed "smoky bacon flavored crisps" in the van, she "started taking them and eating them."
Sarah said, "The policeman in the front seat — 'You can't do that!' "
Although the women turned their engagement rings from view in the police van, the cops eventually realized who they were.
Fergie said that she doesn't miss Princess Diana, who died in a 1997 car crash, because "she's with me all day."
"She and I, we laughed a lot. We got into trouble a lot," Ferguson continued. "You know what she used to do? She used to tell me the worst story, joke story, just before I had to be serious."
The Duchess previously told PEOPLE that she and Princess Diana, whom she affectionately called "Duch," were best friends from the time they were teenagers, long before Diana married the then-Prince Charles and Sarah married his brother Prince Andrew. She recently said that Princess Diana would be "incredibly proud" of her five grandchildren from her sons, Prince William and Prince Harry.
Sarah, who is a grandmother herself to Princess Beatrice and Princess Eugenie's children, said during a recent appearance on Good Morning America of Diana, "I think we'd have a 'Granny-Off.' Because she would run faster in the races. I wonder — she'd probably be funnier. No, I think I'd be funnier."
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Georges De Keerie/Getty Sarah Ferguson and Princess Diana in 1983
Becoming a grandmother came naturally to the longtime children's book author, whose bestselling Budgie the Little Helicopter series became a popular animated show and whose enduring Little Red character also inspired a series of books. The Duchess also hosts a YouTube series for children, Storytime with Fergie and Friends.
"Everyone says, 'Oh, has it changed your life?' And I go, 'No because I live [in the mindset of ] 3- to 6-year-olds.' So I've now got another audience that likes me," she told PEOPLE.