The former England midfielder returned to management last year with Championship side Coventry and always seeks out advice from experienced coaches such as the legendary former Manchester United boss as well as his uncle Harry Redknapp.
Speaking on the Sky Sports One on One podcast, Lampard said: "I've been fortunate enough through my long career to have certain relationships with some really top managers and people in the game.
"I'm talking Harry Redknapp, who's my uncle, but he's got amazing experience of the game. Sir Alex Ferguson has always been amazing with me. In the few times that we've crossed paths, he's one of these managers that will always send you a message or something.
"He supports every manager, not just me."
The former Chelsea star continued: "A lot of the top managers are very happy to have the support system, because they understand the demands of the job and they understand that it's not easy.
"It's nice as a manager to take advice or ideas from someone who has walked in those shoes.
"When you've done that, they can tell you so many things you might know. So I try and rely on that when I can.
"The experience managers can have a thousand stories. They've been there and done it, so they can offer that advice."
Lampard is hoping to lead Coventry into the Championship play-offs and has embraced life with the Sky Blues as the club strives for a return to the Premier League.
He said: "We've been here five months together and I've enjoyed pretty much everything.
"The work has been good. Clubs like Coventry are always about the people and everyone has been so welcoming from the beginning - the staff, the fans, the people behind the scenes.
"The players have worked really well, they're a really good group. It's quite a young squad but there's a lot of personality there.
"There has been a lot of work behind the scenes but we've also gone in the right direction results-wise.
"It's not been perfect, it never is. But we're in a position now where we have an opportunity to make the play-offs. From where I came in, that's good steps forward."
