The Sexual Healing star was shot and killed by his father, Marvin Gaye, Sr., following a fight on 1 April, 1984, and Smokey first heard about the tragedy on the radio.
"I'm thinking to myself, 'That's a lie, because this is April Fool's Day'," he said on a taped Oprah Winfrey's Master Class TV special. "(I said), 'I know good and well that this is just some kind of really morbid, cruel April Fool's joke'."
Smokey called Marvin's wife Anna to make sure the news was false, and he was shocked when she confirmed Marvin was dead.
"As soon as she heard my voice, she said, 'Yeah, baby, it's true'. That was like my mom. (It was) just unacceptable to my psyche."
Despite his grief, Smokey knew he had to come to terms with the fact that he wouldn't see his friend again.
"Eventually, you have to accept the fact, 'OK, this person's gone'. They're gone, and the only thing you're gonna have now are memories. You have to accept the fact that that's what it is."