Jess loves May Belle dearly and feels a strong sense of connection to her. As her big brother (in fact, her only brother) he is eager to protect May Belle, and although he sometimes feels annoyed by her constant attentions to him, there's no denying that Jess and May Belle adore each other. She loves to be in on his secrets, like his habit of getting up early to practice running, and she looks to Jess to get even with Janice, the bully who stole May Belle's Twinkies from her lunch box.
In a family crowded with sisters, May Belle is Jess's most companionable, likable sibling. Joyce Ann is just a baby and hasn't really developed a personality yet, and the two older girls, Brenda and Ellie, always seem selfish and irritating to Jess. That leaves May Belle for his playmate and companion, at least until his friendship with Leslie blossoms.
To find text evidence for this loving relationship, let's look first to Chapter 1, when May Belle and Jess are introduced:
May Belle was another matter. She was going on seven, and she worshiped him, which was OK sometimes. When you were the only boy smashed between four sisters, and the older two had despised you ever since you stopped letting them dress you up and wheel you around in their rusty old doll carriage, and the littlest one cried if you looked at her cross-eyed, it was nice to have somebody who worshiped you. Even if it got unhandy sometimes.
Then, let's also look at Chapter 5, when Jess most notably tries to protect May Belle from the bully, Janice:
"She stole my Twinkies."
"I know she did, May Belle. And Jess and I are going to figure out a way to pay her back for it. Aren't we Jess?"
He nodded vigorously.
Here's May Belle reveling in the secret knowledge that Jess has gotten even with Janice on her account:
"I know," said May Belle, her eyes shining. "I know."
Finally, after Leslie is gone, notice how Jess finally decides to share Terabithia with only one special person: May Belle.