Pliny the Younger described in one of his letters a story noted both for its sadness and its revelatory quality on a characteristic of human nature.  The letter was written to the poet Caninius Rufus (IX.33), and in it Pliny recounts extraordinary interactions between a boy and a dolphin.  I am not quite sure whether the word “friendship” would be appropriate in this context, but one could say that the relations between the two looked very much like this.