Fry: It's just like the story of the grasshopper and the octopus. All year long, the grasshopper kept burying acorns for the winter, while the octopus mooched off his girlfriend and watched TV. But then the winter came, and the grasshopper died, and the octopus ate all his acorns. And also he got a racecar. Is any of this getting through to you?
I, Roommate - S1-E3
Bender: Fry, of all the friends I've had... You're the first.
Answer: Yes Leela knew from early on that Fry had feelings for her. They were pretending to be a couple in 'A Flight to Remember' from season 1 and Fry tried to get on dates with Leela ever since. She just didn't show signs of the feelings maybe being mutual before some of the later episodes.
Andreas[DK]