Sharma said that Dhoni has been key in India's transition over the last year from an ageing side to one with several exciting young prospects.
"Obviously, the support in the team, and the support from the captain is very crucial for any player, not only for me," he told Sky Sports News.
"I think MS is always supporting every youngster in the team. So I think he's been tremendous with everyone.
"I think what I can say about him without doubt is that it is a real pleasure to have him in our side as the captain."
The Champions Trophy final takes place on Sunday at Edgbaston.