Kyoko and Sayaka haven't been interacted much. The one thing that connects them is the fact that they both have been Makoto's love interests. It was confirmed when they occurred in his hallucination. Sayaka's ghost has been representing his first love, implying that Kyoko is his current love.
Despite being love rivals (although it's not clear whether Kyoko had feelings for Makoto back in Chapter 1), Kyoko told Makoto about a possibility that Sayaka left an evidence pointing to Leon being her killer because she still cared about what happens to Makoto.
They also have an event together in Danganronpa V3's bonus mode, Ultimate Talent Development Plan. In it, the two are about to play a volleyball game. Sayaka asks if Kyoko is alright as she may be tired, being always busy with detective work. Kyoko asks the same, reminding her she's always busy with being a pop star. The two decide not to worry and focus on the game by doing their best.
- “Her final thought... ...was how she could protect you. The fact that she used her last ounce of energy to leave her dying message proves it. If she didn't care what happened to you, she never would have left that message.”
- — Kyoko telling Makoto about a possible sympathetic reason behind why Sayaka wrote Leon's name, in Chapter 1 of Danganronpa: Trigger Happy Havoc.
- “Kyoko...are you alright?”
- — Sayaka showing concern for Kyoko before the volleyball game, in Ultimate Talent Development Plan.
- “You're always busy as well. Don't worry about me–you should worry about winning the game.”
- — Kyoko telling Sayaka not to worry about her in Ultimate Talent Development Plan.
The ship sailed as a result of a sort of love triangle between the two and Makoto Naegi, with some fans excluding Makoto in order to pair him with someone else (most commonly Aoi Asahina or Byakuya Togami).