Sheila E, who was close to both stars, confirmed Vanity's death on Twitter on Feb. 15, just before the Grammy Awards. Like Prince, Vanity was 57 when she passed away.
Prince and Vanity had a sizzling partnership at the height of his fame, with the Minnesota native serving as a mentor for the Canadian-born star.
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In 1984, Vanity confirmed to PEOPLE in 1984 that she helped script Purple Rain with the star in Minnesota, and that she was initially slated to play the female lead, a role inspired in part by her own life story.
However, the couple split before filming began, and the role eventually went to Apollonia Kotero. (In the film, her character notably joins an all-girl group named Apollonia 6.)
"I needed one person to love me, and he needed more," Vanity told PEOPLE in 1984 of their split.
The duo met at the American Music Awards in 1980, with Prince later calling her at 3 a.m. The pair dated for several months, and he eventually invited her to Minneapolis to front the racy all-girl group he was forming.
The pair parted ways in 1983, with the pop star choosing to skip the goodbye party pals threw for her at the famed First Avenue club in Minneapolis. The following year, Vanity said she had no hard feelings.
"I never thought, 'Oh God, I'm in Prince's shadow,' " she told PEOPLE. "He'd been performing for years and he was my teacher. I miss his humor. I always felt we'd be like Richard Burton and Elizabeth Taylor over the years. I can honestly say I love the kid."
Vanity, whose real name is Denise Matthews, eventually became a born-again Christian and battled health problems for years after 1994 near-fatal overdose severely affected her kidneys.
Prince paid tribute to his former protégé just one day after her death while performing in Melbourne, Australia, as part of his Piano & a Microphone world tour, dedicated "Little Red Corvette" to Vanity.
"I'm trying to stay focused, it's a little heavy for me tonight. Just keep jamming," he told the audience, per News Corp Australia Network.
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He referenced her frequently throughout the night, with the deeply private star getting uncharacteristically personal.
"Can I tell you a story about Vanity? Or should I tell you a story about Denise? Her and I used to love each other deeply," Prince reportedly told the crowd. "She loved me for the artist I was, I loved her for the artist she was trying to be.
"She and I would fight," he continued. "She was very headstrong 'cause she knew she was the finest woman in the world. She never missed an opportunity to tell you that."