That made it the most expensive Latin American work of art in history sold at auction, the previous record having gone to a painting by Diego Rivera himself, whose work "Los Rivales" (1931) sold for US dollar 9.76 million in 2018.
"Diego y yo" is emblematic of Kahlo's self-portraits, known for their intense and enigmatic gaze that made the Mexican painter, a feminist icon, famous around the world.
In the painting, Rivera's face appears on Frida's forehead, above her distinctive eyebrows and dark eyes from which a few teardrops fall.
The depiction of Rivera, who at the time was close to Mexican actress Maria Felix, as a third eye symbolizes the extent to which he tormented her thoughts, art experts say.
Kahlo and Rivera married each other twice. She died aged just 47 in 1954. "Diego y yo" last sold at Sotheby's for US dollar 1.4 million in 1990. Soulages' painting, which had spent more than 30 years in a private collection, corresponds to the red period of the century-old French artist.
It sold for US dollar 20.2 million after a heated battle between several bidders, some of them in Sotheby's auction room and others on the phone, greatly exceeding the previous record reached in 2019 of US dollar 9.6 million euros in Paris.