Mobius Dick - S6-E21
Trivia: Amy's mother says, "My days of joy and luck are over. Guess I have to leave that club." This is a reference to the novel "Joy Luck Club," the film adaptation of which starred the voice actor for Amy and her mother, Lauren Tom.
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]