Sources told ABC News that Clinton believes both won't enter the race together, though neither has indicated they'd like to avoid a primary.
Clinton is a close friend of the Lundergans — Jerry Lundergan, Allison's father, was a supporter of both Clintons' presidential campaigns — but the source told ABC that the former president hasn't chosen one potential candidate over the other.
Both Judd and Grimes are considering pursuing the Democratic nomination for Senate, but neither has officially made a decision to challenge McConnell, considered by Democrats one of the most vulnerable senators in the nation.
But some Democrats in Kentucky believe that Judd could undermine their chances at defeating the senator, due to her outspoken support for President Obama and previous controversial statements.
Judd supporters say that her star power and unlimited funds would make her competitive in a race.
The actress has begun making preparations for a bid, reaching out to Democrats in Kentucky and Washington for support. Grimes has said she will further explore a bid when the Kentucky legislative session ends next week.