Jeanne is undoubtedly loyal to Micheal, as evidenced when she fought demons and helped England (which she loathed) on his command. Micheal for his part, said that Jeanne was his best soldier and dear child.
Gilles cherished Jeanne, but what she feels about him is unknown. While they haven't seen each other, Gilles has shown that he wants to free her from ecstasy. He is also very protective of her, evidenced when Dantalion insulted her, he flew into a rage.
Jeanne's death also impacted Gilles' decision to go to hell. For him, it was the only way to see her again.
Despite only interacting in episode 10 of the anime (Pillar 32 of the Manga), Jeanne and Camio have some form of respect for each other. Jeanne refers to Camio as "Grand Prince of Hell" while Camio knows a lot about her. Though, Camio may just know this due to being in a human school.