Sure they have a bond through Mjolnir and Cap's the Avenger that Thor respects the most but its not as if they spend time outside of the Avengers together or call each other up to discuss any problems in their lives. Cap especially, even if you only count the Avengers members, would be closer to the Falcon, Bucky , the Black Panther and possibly even Hawkeye and the Scarlet Witch.
I was more speaking in terms of mortal Avengers. Thor is of course closer to Hercules, Balder and The Warriors Three than any of the Avenger. I should have qualified my answer more.