Megan Aldridge formed a firm friendship with Shannon Matthews when they started at Westmoor Junior School.
The two play together regularly, and were side-by-side in the moments before Shannon vanished.
Megan's dad, Mark, said his daughter has been left "devastated" by Shannon's disappearance.
And Megan herself has appealed for her friend to come back to her family.
She said: "Please come home Shannon, we all miss you. If anyone knows where Shannon is they should tell someone. We have all been really upset since she went away."
It is now 10 days since Shannon, nine, was last seen.
Major searches of her home estate, Dewsbury Moor, and the surrounding area, have failed to turn up any sign of her.
Mr Aldridge, of Beckett Crescent, said: "Every day has been hard for Megan. She finds it hard to make friends, but she had two. One of them has gone to Australia and now Shannon has disappeared. It is unbelievable.
"Since it happened Megan has been having trouble sleeping and she is finding it hard at school. We are all giving her all the support we can."
The dad-of-two said he had been left chilled by some of the CCTV images he has seen of Shannon's last known movements.
"Those pictures of Shannon walking into Dewsbury Sports Centre, that is Megan at the side of her," he said. "They are that close, they were nearly always together.
"You can't help wonder what has happened to Shannon but to be honest I am trying not to think about it.
"What we are concentrating on is the hope of Shannon coming home safely. Before she disappeared, Megan was sitting on the coach with her. It seems like she has got off that coach and then she has gone. Nobody has seen her."
Megan was among the hundreds of Dewsbury Moor residents at Tuesday's procession and balloon release in support of the Search for Shannon campaign.
Mr Aldridge said his daughter, also nine, was determined to be there – despite the pain she knew it would cause her.
He said: "She knew Shannon would have done the same for her. At one point she said 'I can't do this dad', but she managed to get through it. She really broke down at one point, it was awful to see her that way. She has never been like that before."
Shannon was last seen on Tuesday, February 19. Anyone who has seen her, or has any information should ring 01274 373737.