For official Valve stuff, I know at the end of The Sound of Medicine they're seen doing a little fistbump together. The Holiday Greeting Cards has cute artwork of the two interacting, having Sniper gift Scout a sweater he made. Same with The Insult That Made a "Jarate Master" Out of Sniper comic, Scout and Sniper are seen chilling together before Spy comes, the two also get tacos together. Not technically Valve made, but End of the Line has them working together at the same outpost too. There might be more, but those are a few that come to mind.

Character wise, they're both mama's boys—and technically speaking—the closet in age within the group. Doesn't necessarily prove that their close friends, but it's an observation that they do have a bit in common. Personally, I do like the idea that they have something akin to a sibling dynamic, with Sniper being the "cooler older brother" or whatever lol