Anurag, 42, who did a guest appearance in Khan's 'Happy New Year', said they know each other from their early days.
"With Shah Rukh Khan, I have a different relationship. Rest of the Khans (Aamir and Salman) are different from him.
Shah Rukh was my college senior in Hansraj. He was the captain of our hockey team. He is like my elder brother," Anurag told PTI in an interview.
The 'Gangs Of Wasseypur' director said Shah Rukh, 49, and his wife Gauri played an important role in his life when he migrated to Mumbai for fulfilling his dreams in showbiz.
"When I didn't have money, he would call me at his home and Gauri used to feed me. My relationship with Shah Rukh is on different level. We have never asked anything from each other," he said.
The director, whose upcoming film 'Ugly' is going to hit theatres this month, said he would love to work with SRK in a film.
"I will definitely work with him one day otherwise my life will not be complete. We share a special emotional bond. If I will make a film with him, I would like to make it in my own style," he said.
