Switzerland is extremely protective of Liechtenstein, and he is extremely kind to her. In return, Liechtenstein is extremely grateful and kind to him for saving her. Although the two share a brotherly/sisterly love, technically they are not blood related, and that they can form a union through their countries.
According to the CD Drama : Hetalia Oyasumi series Vol. 7 of Liechtenstein and Switzerland, Switzerland can be heard calling Liechtenstein by a nickname "Liechten" and it is also revealed that Liechtenstein sings and counts sheep for Switzerland whenever he comes home stressed and Switzerland does vice versa for her when she couldn't sleep.
After WWI, Liechtenstein became extremely poor to the point of starvation. Switzerland found her in the rain and took her in even though at that time he was also having a rough time with his economy.
Later on in the series, when Liechtenstein asked him why he helped her even though he was poor as well, he answered "It's my duty as a country." and that he revealed that once he laid his eyes on her, he could not leave her alone.
Though it is believed that Switzerland has a quite tsundere-like character around the people he cares for, still he shows he is loving and protecting of Liechtenstein.
The two characters rarely make appearances, and in Episode 23 they make their debut together, acting out the first part of Liechtenstein's Journal of Swiss Dopiness, strip of the manga.
In the movie Hetalia: Axis Powers: Paint it, White, Lichtenstein asks Switzerland if he is happy, to which he reluctantly responds that he is.
- Liechtenstein's Journal of Swiss Dopiness Part I