How did Eliza Doolittle and Professor Henry Higgins really feel about each other? Was there a mutual hidden, love for one another? Certainly at the beginning of George Bernard Shaw's 1913 play, Pygmalion, and two film adaptations, Anthony Asquith and Leslie Howard's 1938 movie, Pygmalion, and George Cukor's 1964 My Fair Lady, the two characters had an annoyed and rather indifferent attitude towards each other; but, as the story progresses, one begins to notice a chemistry between them.
When Higgins (Leslie Howard/Rex Harrison) and Eliza (Wendy Hiller/Audrey Hepburn) first met, Higgins was mean and hard to her. I do not think it was that way because he really disliked her all that much but rather because he was treating her as he would any other woman he hardly knew. He seemed to be putting on an image of a hard man. When he discovered why she had come to him the day after their first meeting, he saw her as a challenge rather than a person.
Over the next few weeks and months, Prof. Higgins and Eliza spend night and day with each other improving her speech and polishing her manners. During that time Eliza, Higgins, and Pickering had gone on a trip to Brighton. On that trip Higgins had purchased Eliza a ring. For a man like Higgins that is a very flattering sign of affection.
Prior to Eliza's transformation, I believe she had some respect towards Higgins because of his higher knowledge and social standing. The fact that Eliza leaves Higgins does not mean that she does not care for him. She has just learned to take a stand for herself and now realizes that she deserved better than she has been treated. She now wants to be more of an equal to him. The two movies, Pygmalion and the musical My Fair Lady, show Eliza as more affectionate by having her return to him in the final scene.
Prof. Higgins is a proud man that will not allow himself to surrender to the idea that he has come to depend on someone other than himself. Eliza has gained self respect that she is not willing to sacrifice to Higgins' criticism and harshness. But together on some level, I believe they did love each other, maybe not as husband and wife, but as mutual friends.