One reason that is clear from the Mahabharata itself is that Arjuna was born with a special focus on devotion; his father Pandu sought a child who would be enriched with devotion. Additionally, Jiva Goswami explains that there is a gopa in Vrindavan whose name is also Arjuna. Krishna, outside Vrindavan, is always longing to remember Vrindavan. Anything that reminds him of Vrindavan pleases him, and that’s how he naturally becomes attracted to Arjuna among the Pandavas. Thus, there’s a very sweet bond between the two of them.

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