Hephaestion was, by far, Alexander's closest friend. They were notorious for spending lots of time together, philosophizing on life, sharing ideas, and discussing the future. When his mother Olympias once sent Hephaestion an angry note, he replied, " Stop quarreling with me; not that in any case I should care. You know Alexander means more to me than anyone." Whether this was a physical relationship was never definitively documented. However, according to Mary Renault, "In spite of Homer's reticence, classical Greece assumed the heroes' love to be sexual." Traditional male relationships in Greece generally involved adults and boys. Alexander and Hephaestion's relationship was unusual because they were the same age.

Alexander must have compared their relationship to that of Achilles and Patroklos. According to Plutarch, when they visited Troy, Alexander laid a wreath upon the tomb of Achilles, while Hephaestion did the same upon Patroklos'. This comparison is further credited by the king cutting his hair in honor of Hephaestion's death, just as Achilles had done for Patroklos. Mary Renault also mentions that Alexander did have a eunuch, named Bagoas, who was always cited as the kings "eromenos." This further indicates his sexual preference.

It is important to consider Alexander's relationship with his mother, Olympias, as affecting his sexuality. It is widely thought that Alexander had an Oedipal attraction to his mother. As a child, he saw his parents' relationship deteriorate as they became virtual enemies to each other. Philip had many concubines and eventually married one of them. Naturally, this left a great impression on the young boy, stuck in the middle of the feud, and it was only natural that he identified with his mother. Mary Renault remarks that, "for Alexander, his father's constant absences on campaign, combined with his mother's possessive love, made this a certainty." So great a bond was formed with his mother, that it may have prevented other women from entering his life.