In episode 23 when Eren, Mikasa, and Armin are luring Annie to the underground tunnel as a trap but then Annie refuses to enter, Armin reveals his suspicions that Annie is the Female Titan/the spy.
After Marco died, Annie stole his gear so, during an inspection, nobody would find out that she had killed two captured titans that the Survey Corps experimented on. However, Armin knew exactly what Marco's gear looked like due to how close they were and noticed that Annie had it.
During the first reveal of the Female Titan and her attack on the Scout Regiment's decoy formation, Annie had the chance to kill Armin. She did not due to the fact that she was searching for Eren Yeager, but Reiner Braun interrupted before she would have.
Armin's feeling for Annie are more subtle during Season 1 but it is possible that Armin has had feelings for Annie before her reveal as the Female Titan.
Annie is Female Titan [Proof] (Shingeki no Kyojin) 進撃の巨人 - Attack on Titan Episode 24
Why did Annie want to eat Eren?
Secondly since he was the attack Titan there was a high chance he also had the founding Titan in him. Excluding this the reason she kidnapped him was to bring him back to Marley to have a warrior from there eat eren. It's better to have the full manifestation of a Titan than to have it lying dormant in another person.
While outwardly callous, Annie has expressed levels of guilt and shock, most notably when apologizing to a certain corpse after the battle of Trost and when Reiner emotionally manipulated her to help him kill Marco.
Since Armin was the Colossal Titan, he did inherit Bertholdt's memories, since he was the previous wielder. There is speculation that Armin only thinks he likes Annie romantically because of inherited feelings from Bertholdt.
Trivia. In Eren's character interview, it is said that Eren has feelings for Annie; but doesn't know if it's out either romantic or just deep admiration. Isayama cleared this statement up and said it's only “deep respect.”
Annie Leonhart first shows up in Attack on Titan as a traitor and her relationship with Armin and the rest of the Survey Corps is based on lies. However, the anime's final season shows that a surprising relationship has continued between Armin and Annie, even if it's considerably one-sided.
Annie is genuinely selfish, due to having been abandoned at birth and being used as a tool by everyone she has ever known, even by her adoptive father who wanted a better life for himself through her. She has no interest in protecting strangers due to being unattached to most of humanity to an absurdly high degree.
It's heavily implied that Annie killed them to avoid the Survey Corps from studying Titan behaviour and anatomy. She used Marco's gear to prevent from being caught, as gas usage is recorded.
Suddenly, Armin begins to yell that Jean must avenge "that suicidal blockhead," referring to Eren. He yells that she killed him in her rampage through the formation.
Take the Cart Titan and Jaw Titan, for example, which were wielded by female characters previously, yet the Titan forms don't resemble any feminine features. And vice versa, it is likely if the power of the Female Titan was inherited by a man, the Titan form will not have male features.
Armin asks Annie's help to smuggle Eren out of the Capital, and she agrees. When they come to the tunnels Eren will travel through, she refuses to enter for fear of being trapped. It is revealed that Annie is the Female Titan, confirming Armin's suspicions.
It turned out that Reiner purposely got caught and slashed Annie's hand, telling her where Eren was so they could follow through on their mission and take his Founding Titan.
Most believed it was the farmer as the Military Police stated, meanwhile the other half believed Eren Jaeger was the father. However, in Chapter 139 the theory was debunked and the Farmer was confirmed the father of Historia's baby.
In Attack On Titan's Volume 7 explanation, it was said that there might have been mutual feelings between Levi and Petra. And that Petra's admiration for him was in the form of love.
Eren's true feelings for Mikasa are finally revealed in the series finale, confirming that he is indeed in love with her. Their relationship has been inseparable since they were children, with Mikasa always being there to protect and support Eren.
Conclusion: Armin's affection for Annie in Attack on Titan appears to be a combination of his own curiosity and admiration for her, as well as the influence of Bertholdt's memories and emotions. While their romantic involvement may not have been foreshadowed, it was not entirely out of the blue either [2].
Witnessing his mother's death was traumatic enough, but seeing countless allies die in front of him was a major factor in Eren's fall to the dark side.
Annie begins her first deep cover operation completely on her own. Meanwhile, Auggie, Joan, Arthur and the rest of the CIA manage the fallout from Annie's "death" at Calder's hands.
After her identity was revealed, which resulted in her defeat by Eren Jaeger and Mikasa Ackermann, she crystallized herself into a coma to protect herself and the secrets that she held from being unraveled. Until her escape four years later, Annie was retained by the Survey Corps [Chapter 34, Volume 8].
Reiner insults Annie's conviction as a Warrior, bringing up the fact that she saved Conny's life from a Titan, and demands that she prove her loyalty to the Warriors by taking away Marco's ODM gear, leaving him defenseless.
