In a statement to CNN, Ms Sanders, 36, said she had been questioned last year by the special counsel probing Russia’s alleged interference in the 2016 election, and possible collusion with the Trump campaign.
“The president urged me, like he has everyone in the administration, to fully cooperate with the special counsel,” she said.
“I was happy to voluntarily sit down with them.”
The network said the interview was one of the final known interviews to have been carried out by Mr Mueller’s team.
It was conducted late last year, at around the same time prosecutors spoke to then-White House chief of staff John Kelly.
A number of other senior officials, including former White House communications director Hope Hicks and former press secretary Sean Spicer, were also brought in for questioning, it said.
The White House did not immediately agree to grant the special counsel an interview with Ms Sanders, CNN said.
Special counsel office spokesman Peter Carr has declined to comment.