There has always been a connection between Wanda and Vision – Two individuals that find solace in each other as they continuelly discover both their abilities and who they are. This understanding has forged a strong bond between the pair, giving each romantic feelings for the other.
When Vision hits a wall in his research project, Tony suggests that he find a partner. Vision resists and drives quite a few candidates away, but maybe a Miss Maximoff may be up for the challenge?
It goes by really fast in the movie, but when Proxima shoots Wanda and Vision out of the sky, Vision reaches out to grab Wanda as they’re falling, flipping them over to take the brunt of the fall and protecting her head in his hand (while Wanda is softening their landing with her magic).
In his last moments he is comforting Wanda. Before he closes his eyes, he smiles at Wanda to let her know he is at peace and that she is not hurting him so she doesn’t feel guilty after he’s gone.