The Justice Department confirmed on Tuesday he was interviewed for hours last week, but declined to reveal details.
Special counsel Robert Mueller is leading the investigation into contacts between Mr Trump's 2016 campaign and Russia.
Mr Sessions is believed to be the highest-ranking Trump administration official to be interviewed by Mr Mueller's team.
The special counsel is also investigating whether President Trump's actions in office, including firing FBI Director James Comey, were an obstruction of justice.
Like the President, Mr Sessions has repeatedly downplayed the notion that meddling from Russia helped get Mr Trump elected.
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It is thought Mr Sessions could be an important witness because Mr Trump said he fired Mr Comey last May after a recommendation from the Justice Department.
At the time, Mr Comey was called out by Mr Sessions' deputy, Rod Rosenstein, over his handling of the Hillary Clinton email investigation.
Mr Trump then said he was thinking of "the Russia thing" when he fired Mr Comey.
Mr Sessions met with former Russian ambassador Sergei Kislyak three times during the campaign.
He was also in charge of the campaign's foreign policy advisers, including George Papadopoulos who has many Russian contacts and tried to set up a meeting between Mr Trump and Russian President Vladimir Putin.
Mr Papadopoulos admitted to making false statements to the FBI about his contacts.
