I believe so. When my male Dalmation died, my female mourned for weeks. She wasn't herself, she howled every night, didn't eat as well...most people will readily say that this is simply due to the change from pack-environment to sole dog, but with the other dogs we had before she died she never was as close to them as she was to Rosco. When my cat died a few months ago, Mudflap and Nick looked for him for weeks. They both still look around in his normal napping places every now and then.
When I'm gone for lengths of time, my dogs look for me, and when I get home they are overjoyed to see me. I think they do get attached to each other and to their human companions, and they miss them when they are away, or when they die.