Mitchell and Annie like each other directly when Mitchell and George move into Annie's house. George does not want to live with a third supernatural being in the house. That's why he wants Annie out of the house. Mitchell however wants Annie to be in his house and convinces George to let her stay. He directly has a connection with her, as both have died. Both have seen the men with the sticks and ropes and found that very traumatic. Furthermore Mitchell tries to help Annie to finally be able to go out of the house for some time. He listens to her and talks with her a lot. (Pilot)
In the episode Tully Mitchell kisses Annie for the first time. However Mitchell says this kiss was an accidental kiss and not made on purpose.
Throughout the whole first and second seasons Mitchell is very protective of Annie. He even gets a little jealous when Annie meets Saul. Even George realises it and tells Mitchell this.
Throughout season one and two they both have different partners and are very good friends. After Mitchell saves Annie from the other side they realise their feelings towards each other. This happens with the help of Lia, who asks Annie if there is anything going on between herself and Mitchell. However, their relationship has a difficult start when Mitchell kills 20 people in the box tunnel 20 massacre and tries to keep this a secret from Annie. Annie however tries to solve the box tunnel 20 crime herself. As she realises that Mitchell has done the massacre, she asks him to stay in prison. Mitchell does this for her, even though it is the last thing he wants to do. Annie is ready to stay her whole after-life on Mitchell's site at the prison. However Mitchell is set free by Herrick. Mitchell goes with Herrick, as he wants to know how Herrick survived George's werewolf attack but promises Annie to come back. As Mitchell returns to their home in Barry Mitchell asks George to kill him. Mitchell does not want to harm anyone anymore and George does as Mitchell says. Annie dies one year later. The grown up Eve is waiting for her at the other site. She tells Annie that "they" are waiting for her (meaning George, Nina and Mitchell).