Federal cabinet minister Stephen Conroy denies he has had any first-hand association with the former NSW Labor factional boss Eddie Obeid, who is the subject of a corruption inquiry.

"I've never had so much as a cup of coffee with him," Senator Conroy told ABC radio on Wednesday.

Labor's Senate leader admitted to staying at an apartment owned by Mr Obeid in 2005 or 2006 after two other federal Labor ministers, Tony Burke and Bill Shorten, were named at a NSW Independent Commission Against Corruption inquiry on Tuesday.

The same hospitality was extended to other Labor figures, including former NSW premier Morris Iemma, current NSW Labor leader John Robertson and former NSW minister Ian Macdonald, Mr Obeid said.

Mr Shorten denies ever staying at the Obeid family's ski lodge. He said through a spokesman on Tuesday that he had never been to Perisher and cannot ski.

Mr Burke said in a statement that he had stayed twice at a Perisher Valley apartment owned by Mr Obeid.

Senator Conroy says he was a guest of Mr Burke's when he stayed there.