The ex-Spurs midfielder opened up to Gary Neville in a brave talk on 'The Overlap' earlier in the month.
Alli broke down in tears as he revealed that he was molested as a child, as well as declaring he became addicted to sleeping tablets.
Support from clubs, teammates and fans flooded in for the 27-year-old after the interview was released.
And it should come as no surprise that his honest admission had a huge impact on his friends.
Speaking to talkSPORT Drive, Rose has recalled just how moved Alli's ex-teammate Walker-Peters was when the interview aired.
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He said: "I came to London and I saw Kyle Walker-Peters, we bumped into each other. He asked me if I'd seen it and I said, 'no I've not seen it'.
"He told me a certain bit and, he won't mind me saying this, but he said he cried. I was like, 'what, are you serious?'
"So when I say fortunately I didn't get to see it, it's because yeah obviously it's great that Dele has opened up.
"But to hear what the lads have told me, I would have probably broken down as well.
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"It's the Dele that you see in training - always happy, bubbly, he's the life and soul of the party.
"To hear that that's happened to him in the past, that definitely would not have been nice to hear at all."
During his appearance on talkSPORT, Rose also discovered that Jose Mourinho called Alli 'lazy' during his spell in charge at Spurs.
He admitted to not watching their 'All or Nothing' series of Amazon so had not seen the viral clip and was visibly shocked at the discovery.
It remains to be seen what the future holds for Alli this season, with the midfielder back at Everton after a loan spell at Besiktas.