The pair attended the recent United States Grand Prix in Austin, Texas after joining a group that has invested in the Alpine Formula One team.
The golf star and former world heavyweight champion boxer have followed Liverpool and footballer Trent Alexander-Arnold and NFL star Patrick Mahomes in joining up with Otro Capital, which owns 24 per cent of Alpine.
Ryder Cup winner McIlroy, spoke of his favourite things in sports during a round table with Joshua and golf did not feature in his picks.
"I think the two best things to watch in sport are probably the first round of a boxing fight and the starting grid going into the first corner of a race," McIlroy told The Athletic.
"That's where it's edge-of-your-seat. I'm not very nervous when a soccer match kicks off or other sports that I follow. But whenever at the start of a fight or the start of a race, you're nervous."
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The Northern Irishman revealed a long-standing interest in F1 led to him taking the leap of investing in the sport and hopes the injection of funds can help support the Formula One team.
"I've always had an interest in Formula One. I've always been a fan," he added. "It's always been really big in Europe, but the boom of Formula One in the United States, off the back of the Netflix show and everything else, the popularity, it just felt like a really good time to do something like this.
"From a fund standpoint, it's an investment, and with every investment, you're trying to make money from it, but it's a purposeful investment.
"Instead of investing in some business where I don't really know anything about it, I can actually relate to this. I feel like I might be able to help in some way."
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Meanwhile Joshua revealed his reason for investment was due to it being a unique opportunity to work with Alpine, who he claims to be a fan of.
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"Nothing changes other than you have a direct relationship with the team," Joshua said about shifting from a fan to an investor. "It's what you want to drive, isn't it? You want to create a following, which is basically supporting Alpine, and that's what we're trying to create."