Before being kidnapped by the Red Lotus (when he was an arrogant bastard), Zoe was the only person Nathan respected... or at lest admitted that she was "almost s smart as him".
After he returned, and had his change of heart, the two actually become really good friends, as she was one of the only persons that believed he had changed.
After that, the two would often help each other, collaborating on projects, while also developing a close bond.
When Zoe became a werewolf after the Hysteria incident, Nathan could tell something was wrong, though he never understand what.
After Nathan himself becomes a vampire (after the Bloody Mary incident), the bend between the two deepens even more.
Nathan also develops feelings for Zoe, but initially doesn't know how to express them.
She's aware of Nathan's feelings, and has a better way of expressing them herself. Cuddling with him, and calling him her "guinea pig". Encouraged by this, Nathan also starts being more open, calling her "Genius Girl" or "G".
The two eventually start a relationship, thus showing that werewolves and vampires can live together.