Sainz, 19, and Felix da Costa, 22, (along with Tom Blomqvist, 19, who was unavailable for the interview due to illness) are all F3 race car drivers for the Red Bull Junior Racing Team. They've been racing since they were children, so competition is a big part of their lives: and they understand what should stay on the track and what they should leave behind.
"I think there needs to be the right balance. If I go to Madrid, I would call Carlos to hang out," Felix da Costa says. "Off the track, that's the approach that you need to have. But when we put our helmets on and go onto the racetrack, we both want to beat each other and win the race. There needs to be a lot of respect among one another."
Sainz says: "We have to be friends. We live in Milton Keynes, in England. There's not much to do there and if you don't have friends, you'll be very lonely. For me having Antonio and Tom there, they help to keep you entertained. We go to dinner, go bowling. But on the track, everything changes. We're all fighting for the same dream."
As well as sharing the same training facilities in England, they also share a common family history. Both Sainz's and Blomqvist's fathers were rally car racing world champions, while Felix da Costa's father and two older brothers also raced. But they have learned to ignore the public's scrutiny, and instead feel the pressure they put on themselves to improve.
All three drivers have competed in Macau before, but this year's race meant just a little bit more for Felix da Costa, as he won it last year.
"Macau is so traditional. So many great names have won here, so just to have my name on that same list is great," he says. "I think the goal for this year is to win it again, obviously, because there was only one guy [Edoardo Mortara] who won it twice and he did it back-to-back."
When it came to the actual race last weekend, he just missed out on repeating last year's glory, finishing 1.173 seconds too late and having to settle for second place. Sainz and Blomqvist finished a respectable seventh and eighth.
Although the result wasn't quite what they hoped for, there will be plenty of other chances for this trio to face off - and for their friendly rivalry to continue.
"As long as you are racing together, there will be a point where you want the other guy to make a mistake so you can get it right," Felix da Costa says. "It's not wishing that something bad happens, it's just the way it is. It's competition."