When in a trance-like state, Shido asked Mana if Mio had helped her out when she was captured by DEM. From Mana's brief flashback, they seemed to be close friends, if not acquaintances. However, Mana's memories are currently too fragmented to remember anything specific about Mio.
Mio was first mentioned by Shido to Mana when he lost control of the Spirit powers sealed within his body. But during the events of Mukuro Planet, Shido could only remember the affection she had for him.
After using <Michael> in an attempt to regain his memories of Mio, it is revealed that Shido found Mio after a spacequake and named her after a the 30th, the day where they first met. It was through her time living with Shido that Mio grew an understanding of the concept of love. Shido's original death at the hands of being gunned down by Westcott devastated Mio, causing her to finally realize how much the boy means to her, how much she likes the boy and how the boy fills her ashen world with colors.
Despite saving Kurumi from the hands of a berserk Spirit, Mio was still willing to trick Kurumi into becoming a Spirit under the premise of being an ally of justice who was saving the world from Spirits. When Kurumi found about the deception after accidentally killing her best friend, Mio apologized for actions and explained her identity as the First Spirit and how other Spirits were actually humans given a fraction of her power. However, she still refused to explain her motives, only stating that she bares no grudge against her but cannot stop until the completion of her goal.