"My friendship with Ayla has sustained me through some of the most difficult periods of my life," says McGregor. "I absolutely love her to bits."
Now they are about to be portrayed in a new Sydney Theatre Company production that tells their remarkable stories.
Still Point Turning, written by Priscilla Jackman, is based on hours of interviews with McGregor and dramatises her life from growing up in rural Queensland and joining the ADF to the point in 2012, when, aged 56, she was faced with the choice either of ending her life or becoming her authentic female self.
A couple of years earlier, on the other side of the world, Holdom faced that identical, brutal choice.
Both women chose life and both received a huge level of support and understanding from their employers.
In fact, when Holdom returned to her base in north Wales for the first time as a woman, the guard addressed her as "ma'am", adding "Don't worry, you aren't the first and you won't be the last."
But the response outside the military was not as supportive. In 2010 Holdom, who happened to be serving alongside Prince William, was "outed" by the now defunct Sun newspaper. She was given 24 hours to tell her friends and family the news before the Sun's crude and spiteful front page story hit the news stands. She was devastated.
Now Holdom, who has since left the RAF and flies for National Police Air Service in the UK, is visiting Sydney to support her best friend through the emotional roller coaster of the theatrical opening, as well as to see her own story shown on stage.
"It has the potential to be quite difficult for Cate," says Holdom. "I always liken myself to the donkey that walks along beside racehorses just to calm them down and make everything alright."
McGregor admits to first-night nerves ahead of Thursday's opening.
"I would be shocked if I got through dry eyed," she says. "I'm also terribly, terribly honoured."
Both McGregor and Holdom believe the upcoming production can educate people about what it means to be transgender and remove some of the stigma.
"I hope it does something for young trans people and softens the hearts of some of the people who think we are freaks," says McGregor.
Holdom agrees, saying she looks forward to a time when being transgender is merely a "background fact" to someone's life.
"I don't know why I feel and am the way I am, but whether I understand the science behind it or not, it doesn't change the reality that this is me and I can't not be me and get on with the world still," she says. "This is the best me I can be and I'm just trying to find my honest place in the world."
Still Point Turning opens at the Wharf Theatre on Thursday
Nick Galvin is a journalist with The Sydney Morning Herald
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