"We were never romantically involved," Sophia told the New York Times.
Caitlyn, 70, and Sophia, 23, have sparked dating rumors for years, but the latter is now setting the record straight. Asked why they never denied the dating rumors when so many media reports linked them, Sophia said, "We weren't addressing it. I don't feel a need to address my sex life, quite frankly, unless I want to."
She even said she's dating a 30-year-old man who worked on Wall Street.
She was more vague about their relationship status in 2018, telling the "Hidden Truth" podcast, "I don't think we need to talk about is it romantic or not."
"We're partners in everything that we do. We're inseparable. We're business partners. We live together. We share a dog. We share family. We share a life together," she continued. "But as far as caving into the media and having one of us label it as something, we're not going to do that."
Like Caitlyn, Sophia is transgender, having transitioned in 2016 after being inspired by Caitlyn to do so. She is now Caitlyn's manager, a role that Kris Jenner used to fill.
"I saw nobody was managing her, and there were all these people taking massive advantage," she told The Times. "And I was saying, 'Caitlyn, if I don't step in here and start managing you, you're going to go broke.'"
As manager, Sophia gets 10 percent of all of Caitlyn's deals, including her stint on "I'm a Celebrity, Get Me Out of Here." It's believed that the former Olympian got the highest fee in the show's history.
As both Caitlyn's manger and roommate, Sophia said she's on great terms with the Kardashian-Jenner clan.
"I'm on good terms with all the family," she said, "but I'm closest with Kris, Kim, Kylie and Kendall."