They once were dorm mates when Yukina and Sayaka were in High God Forest, in episode 2 Yukina made a reference to Sayaka when saying "I had good friends there". It was revealed in episode 6 that they had known each other ever since they were very little since Sayaka had a picture of them both as kids together on her phone.
Sayaka is very protective of Yukina, and as such, she doesn't get along with Kojou Akatsuki at first. Sayaka blamed Kojou for exposing Himeragi to danger. The fact that she had androphobia (a severe fear of men) made interaction with Kojou difficult. However, she later on warms up to Kojou, and discovers that he was a male who she felt comfortable with (earlier having gone so far as to reject calls from her superiors just because they were male). Additionally, after letting Kojou drink her blood, a new kind of chemistry between the two, although albeit one-sided, emerged. Sayaka's feelings for Kojou can be seen by how she blushes whenever he's around and how she gets inexplicably nervous when conversing with him. She was jealous when La Folia kissed him.
Sayaka had misunderstood the relationship between Kojou and Aiba in several situations such as when Aiba was trying to get information out of Kojou by seduction, this was witnessed by Sayaka using her shikigami to observe Kojou. This led to her not getting along with Aiba as Sayaka didn't want Kojou to cheat on Yukina.