Speaking Tuesday night on a panel hosted by Manhattan boutique STORY and moderated by Fortune‘s Jennifer Reingold, the two legendary business women shared the stories of their high-profile terminations—and shared with attendees the essential lessons of those painful experiences.

Lyne’s public execution happened in 2004, when she was president of ABC Entertainment. Despite the turmoil then rocking the network, the news came as a surprise: Disney president Bob Iger had just publicly declared her safe. Even more devastating: she didn’t get to stick around long enough to see the new slate of shows she’d green-lit—including Desperate Housewives and Lost—succeed.

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“That afternoon, if you had asked me whether it was going to be a good thing I would have wept,” said Lyne, adding that she was convinced that losing the job was “the worst thing that could have happened to me.”

Yet the traumatic blow ended up yielding an unexpected opportunity. “It was the first time in my life that I was able to step back and think about what I wanted to do,” said Lyne. For most of her career Lyne avoided pursing jobs, instead waiting for the offers to roll in. But given some time to think carefully about what she wanted for herself, she decided that she was ready for her first CEO job. That decision ultimately landed her at the head of Martha Stewart Living Omnimedia—and set her up for her current role as president of BBG Ventures, a venture capital firm that invests in women-led startups.

She also shared one other takeaway with the audience: If she had paid more attention to office politics, she believes she could have saved her job. “I was very much a girl about it,” she says. “I wanted to stay above the fray and it was a mistake.”

For Krawcheck, the ax actually fell twice. Once as CFO of Citigroup and again at Bank of America, where she was running the wealth management businesses. The big lesson, says Krawcheck, didn’t sink in until she was booted from BofA.

She got the news on Labor Day weekend of 2011, when the CEO told Krawcheck that the company was “re-orging” and that that new organization did not include Krawcheck.

“They gave me less than 20 minutes until they put out the press release,” she says. “I couldn’t believe this was happening again.”

Once she’d recovered from the initial shock, Krawcheck called the bank’s board members to thank them for the opportunity—and ask what she could have done better. What she heard, again and again, was, ‘When it came time to re-org, no one was willing to argue for you.’

That’s a testament to the power of sponsorship, she says, quoting Carla Harris, Morgan Stanley’s vice chairman of Wealth Management: “All of the important decisions about your career will be made when you are not in the room.”

Rather than look for yet another mentor, women need sponsors, people who have actual power over their careers. “The sponsor is the one who is in the room fighting for you,” said Krawcheck, who is now chairman of Ellevate, a network for professional women, as well as CEO and co-founder of Ellevest, a new investment platform for women. “You need to be cultivating those individuals and asking them, ‘Will you make this argument for me?'”