Giuliani said he was in a hotel near Liverpool Street Station when a bomb exploded on a train in a tunnel nearby.
"I could hear the sirens and then kept hearing reports of different bombings, in different parts of the city," he told Sky News television.
"As we were walking through and driving through the streets of the city, it was remarkable how the people of London responded calmly and bravely."
Giuliani, who was widely praised for his calm and resolute leadership after the Sept. 11 attacks, said New Yorkers would feel "tremendous empathy" with the people of London.
"I think every New Yorker would join me in saying we feel we very much understand what you are going through," he said.
Giuliani praised Londoners' "resolved and determined response" to the attacks.
"In a strange way a lot of our response to Sept. 11 was modeling ourselves as much as we could on the people of London during the Second World War and the incredible way they withstood the attacks during the Battle of Britain," he added.
Giuliani, who received an honorary knighthood from Queen Elizabeth II in recognition of his post-Sept. 11 leadership, left his post as mayor in 2002.
Touted as a rising political star, his top political aide in April said it will not be possible for the former New York City mayor to run for governor or challenge Senator Hillary Rodham Clinton's re-election bid next year.
But, aide Anthony Carbonetti cautioned: "Rudy is someone who never says never."
Giuliani, a Republican, was running against Clinton for the Senate in 2000 until he withdrew while battling prostate cancer.
Independent polls have shown both of them to be top contenders for their respective parties' 2008 presidential nominations. Asked about a Giuliani bid three years from now, Carbonetti said he does not have to make that decision soon.