Eren and Annie were actually good friends.

After Annie was done training Eren for the day they would sit down and talk about what their futures would be like. Most of their conversations consisted of Eren ranting about Titans and Annie calmly listening.

Sometimes they would even sit together when eating. 

Eren looked up to her and considered her as another sister.

He was horrified when he learned she was the Female Titan and refused to accept it. 

He went through a long stage of denial and up to this day he still thinks Annie is a good person no matter what other people say. He knows she had her reasons, he just doesn't know what they are.