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But today they are on opposite sides and the two of them have been talking ahead of the game. McLeish sees us side currently top of the league and he said: "Burnley are on their home ground and will see us as a scalp. I'm sure they'll show us no respect and come straight at us from the start.
"We certainly know we'll be in a game where every player will have to turn up because it will be a battle. But I would also like to think with the confidence that we have gained in the last three games we can show that type of composure again and have the firepower to get the three points.
"We totally controlled the last game against Queens Park Rangers, playing some good football and it was the best we've played at home this season, without a shadow of a doubt. I'd still like to see us looking more ruthless and maybe a little but more potent in front of goal, but if we keep playing to that level then we'll certainly win more than we'll lose."
On Coyle, McLeish added: "I did expect him to be a coach for a few years and maybe work under somebody, but just like I did in the game he got an early break when he took over the St. Johnstone post and proved a revelation in that position.
"The Burnley job then came up for grabs and I actually put a word in for Owen. He ended up getting the job and I don't think they regret bringing him to the club as I think he's worked a lot of magic there.
"He's a clever and encouraging type of manager who will be hard on his players when he needs to be. He is very much a football man and it was certainly no surprise to me to see him in football management.
"He made a couple of tactical switches after they lost their opening few games and it has worked for him to a level where they've managed to go on a fantastic run. Only Reading stopped them in their last game and they have been on a great run themselves, but I gather having watched some exerts from the game that Burnley still put in a very good performance."
The mutual respect continues when Coyle spoke of McLeish. "Alex signed me as a player from Dundee United and I was with him for two years as a player and loved every minute of it.
"I think in my playing career I played under 21 managers and I've got to say I probably learned most and took a lot from working with Alex. I've got an awful lot of things to say for him, both on and off the field.
"His man management is fantastic because he deals with his players fairly and honestly and I think that goes a long way. I'm led to believe that what Alex said to Burnley when recommending me is quite flattering, and I'm obviously thankful for that."
Onto the game and Coyle expressed concern at the players who won't make it. "We've got a few problem but that's just the nature of the game," he said. "Alan Mahon, Michael Duff, Clarke Carlisle, none of them have trained all week.
"I think Alan will have absolutely no chance of being involved on Saturday. Michael we will look at, along with Clarke and we'll try and take it from there. We'll look at it and see if they are fit to start, but if not I'll slot in a few players who will be able to do a job."
Kevin McDonald had his return via the reserves curtailed on Wednesday. "It was my intention to play him longer than 45 minutes, then having got a knock we felt it would be folly for him to carry on and aggravate it again." Coyle added: "So, he's going to train and we'll look to take it from there."
He also spoke of the part the fans can play. "We're in fantastic form, the fans have been outstanding and it's been a brilliant atmosphere here lately," he said.
"I hope the fans come with the same voices and backing that they gave the players in recent home games. The atmosphere has been brilliant and you can not underestimate how big a factor it is when the fans are right behind us.
"The players respond to that and I hope they do it again on Saturday because we want to make sure Birmingham come here and they know they've been in a game."