This is a relationship between Steve and everyone.
Mario and Steve are, for the most part, good friends. Both have low intelligence and are usually cheerful, but have short tempers. That said, even Mario can be irritated by Steve's antics sometimes. In SM64: Meet the Steve, Mario says that Steve is "a chill dude... except when he likes to poke his nose in everything!"
In Meet the Steve, SMG4 claims he doesn't hate Steve, but that "nothing about him makes sense!" SMG4 is frequently annoyed by Steve, even more so than most characters, claiming that his stupidity is in another level than Mario.
Peach's true feelings towards Steve are unknown. In Meet the Steve, she calls him a creep and rude and wishes he would leave the castle. On the other hand, in SM64 Guides: Toadsworth's How to - Princess, Steve dresses up like a prince, and Peach seems to be infatuated with him. Steve also finds Peach attractive, as he has been seen humping posters of her.
Female Steve is, as the name suggests, a female version of Steve. She has the same personality, quirks, and reality-warping powers as Steve. Steve and Female Steve are in love with each other. Steve sometimes hallucinates that pigs, goombas, and possibly other creatures are Female Steve. However, in the real Minecraft, there already is a Female Default Skin, Alex.