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Robert Mueller's office questioned Sessions for several hours last week. It was the first time that a Trump Cabinet member was known to have been interviewed for that investigation.
The New York Times first reported the news. Sessions' spokeswoman, Sarah Isgur Flores, confirmed to CNBC that the attorney general was interviewed last week by the special counsel's office.
When asked about the news, a White House official told CNBC, "We're cooperative, support the process and want the special counsel to finish what he's doing, but we don't comment on individual interviews."
Mueller, in addition to looking into Russia interference in the election that sent Trump to the White House, also is investigating whether the president has obstructed justice by interfering with inquiries into Russian actions.
Sessions last March recused himself from any inquiry into Russian interference, a move that has continued to anger Trump.
The attorney general's recusal came after he failed to inform Congress that he had twice met with Russia's ambassador to the United States during the presidential campaign.
The news comes following a report that said FBI Director Christopher Wray threatened to resign in reaction to pressure from Sessions and Trump to fire Deputy Director Andrew McCabe.
Last week, it was reported that Steve Bannon, a former top White House adviser and ex-Trump campaign chief, had agreed to answer questions from Mueller's investigators instead of being compelled to appear before a grand jury probing the Russia case.
— Additional reporting by CNBC's Eamon Javers