The two were able to bond and became very close, close enough for people to talk about the nature of the relationship. She shared a similar friendship with the duchesse de Polignac, but the friendship was not as strong.
When Marie Antoinette and her family were stationed at the Tuileries, the princesse stayed in apartments right next door. She responded greatly to the dire situation the royal family was in, and endeavored to support her friend. Sometimes she would leave to tend to her aged father in law, the duc de Penthièvre at the chateau de Vernon.
It was during one of these trips away from her majesty, that Marie Antoinette thought it best that Lamballe stay at the chateau and not return to Paris, for her own safety. To persuade her friend not to return, she wrote the following letter, as stated by Lamartine, the letter was discovered later hidden in the princesses' hair. Not sure the provenance from that point but a good story none-the-less!
"Do not leave Vernon, my dear Lamballe, before you are perfectly recovered. The good Duc de Penthièvre would be sorry and distressed, and we must all take care of his advanced age, and respect his virtues. I have so often told you to take heed of yourself, that if you love me you must think of yourself; we shall require all our strength in the times in which we live. Oh do not return, or return as late as possible. Your heart would be too deeply wounded; you would have too many tears to shed over my misfortunes, you who love me so tenderly. This race of tigers which infests the kingdom would cruelly enjoy itself if it knew all the sufferings we undergo. Adieu, my dear Lamballe; I am always thinking of you, and you know I never change."
Marie Antoinette to the Princesse Lamballe