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It is so painfully obvious that he loves Lucy, even Mirajane noticed that.Natsu is fiercely protective of Lucy. In the episode where Lucy fought Minerva in the Naval battle, Lucy was basically used as a rag doll. You could definitely see fury in his eye. Natsu also got extremely angry in the episode Dan trying to get with Lucy. In the Episode that Lucy supposedly 'died', Natsu completely lost it and went into the demonic side . HE also protects her as if she was the only person left even when he knows she can defend herself and hold her own. When Lucy got stuck inside the clock, Natsu kept on saying that he was gonna get her out no matter what. Natsu deeply cares for Lucy and he also barges into her home as well as show some type of affection towards her.
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Yes, Natsu is romantically in love with Lucy . But he also said that she is his best friend. And later Natsu really falls in love with Lucy.