It was no secret that Steve Rogers was head over heels for Natasha Romanoff. The subtle gestures he made gave him away instantly. She as well knew, but was afraid of committing to yet another person who could possibly break her heart.
So she tried real hard to let him down gently, because he was a very nice guy, but he wasn't the easiest to be told no. Finally after he tried again, she snapped and yelled at him to leave her alone, which he complied with. She felt horrible after, but she decided it was the only way to get through to him.
He kept his distance and even stopped giving her instructions on the battlefield, allowing her to do her own thing. She had no problem with that, but she missed the conversation. Hell, she missed him. She started questioning herself as to whether or not her dismissal of his affections was right. He did genuinely seem to care a lot for her, so perhaps she should give him the chance to show that.
They were in the midst of battle one day. Steve like normal gave instructions to everyone but her. She sighed and went off to fight. She got herself cornered by one and was about to be shot. Steve saw this and flung his body in the way, being blown into the building behind. Natasha killed the enemy and went to check on Steve. Alarm raced through her when he didn't move. She felt for his pulse, but did not find one. She tried in vain to revive him, but was unsuccessful. Steve was dead.
She cried hysterically over him, taking his corpse into his arms, telling it she loved him and was so sorry she never told him. She laid down beside him and kept ahold of him, just laying there.
The other Avengers came to her after the battle was won. They knew they had to get her off him. But when they attempted to move her arm, they were shocked to find it limp. Furthur investigation showed them that she too was dead. Died of a broken heart, they theorized. Later autopsy would show she was shot in the back while cradling Steve's body, but they preferred the other story. Feeling that she would have wanted it, they had the soldier and spy buried together in a very secret cemetery, where in death they could be together. Forever.