Brazil takes on Argentina in the Copa America 2021 decider at the Maracana in Rio de Janeiro, with both players pursuing their first-ever continental crowns.
Messi's Argentina has not won the Copa since 1993, while injury meant Neymar was not part of the Brazil squad which triumphed in 2019.
The pair have a close friendship from Neymar's four years in Barcelona, while they have both dominated this Copa.
Messi leads the Copa with four goals and five assists, while Neymar has contributed two goals and three assists for hosts Brazil.
"Messi is, as I've always said, the best player I've ever seen play and he's a great friend," Neymar said. "But now we're in a final, we're rivals. I want to win and I really want to win this title, which would be my first Copa America.
"Messi has been looking for his first title with the national team for many years, and every time we we [Brazil] are not present at the tournament, I cheered for him.
"That's what I've been cheering for in the 2014 World Cup final, when he faced Germany.
"Now Brazil is in the dispute, so our friendship is on the line [laughs]. The respect between us in still great but only one can win."
He added: "When you're friends with someone, it's hard to forget the friendship you have... but for example when you play video games with a friend, you want to beat him anyway. It'll be the same thing on Saturday."
Neymar also hit out on Instagram about Brazilian fans who have turned on the national team and opted to support rivals Argentina.
"I'm Brazilian with a lot of pride, with a lot of love. My dream was always to be in the Brazilian national team and hear the fans singing," he wrote. "I've never supported or will support against anything Brazil is competing for, whatever the sport or modelling contest."
Brazil is chasing its 10th Copa title, while Argentina is looking to end its 28-year wait to add to its 14 continental crowns.
Argentina has won five games in a row, including its semi-final victory over Colombia, and are unbeaten across their past 19 games.
Brazil is undefeated in its past 13 games and have only conceded two goals at Copa America 2021.