When did "it" start?
Posting the old zosan comic I made back then because I feel like it :P And now, I will put some long babble similar to the one I put on Insta:
I like to think "it" as a reference to their bond of trust. So, I looked around for some possible areas where they could be forming respect/trust.
For Sanji:
In my opinion, it would have started since Baratie Arc. Compared to Zoro’s straightforward attitude and determination to become the greatest swordsman, Sanji was more reserved and hesitant about pursuing his dream of finding the All Blue. I like to think that Zoro’s determination and actions may have inspired, if not motivated, Sanji to pursue his own dreams rather than shy away from them.
For Zoro:
I was thinking it probably started either Little Garden or Arlong Park Arc. Besides being the greatest swordsman, Zoro cares deeply about his crew and is protective of them. Having someone who can and is on the same wavelength about protecting the crew is important. Despite their frequent bickering, they seem to have this unspoken sense of trust, knowing they can count on each other to protect the crew and have each other's back.