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One could be glad to be a friend of John Steed because he would break any rule to help a friend.
He steals top-secret NATO attack plans to rescue Purdey in the TNA episode Hostage,and by doing so, he's risking his career and his life for one of his friends.

Steed knows many people, due to his distinguished career he has worked with many colleagues and obviously, he has a lot of friends, but one hardly sees any of them.
But Steed has a social life, as he's a member of several clubs (The Medicine Men, Lobster Quadrille, The Murder Market, Look - (Stop Me If You've Heard this One), But There Were These Two Fellers...and in Fog), he has wild parties (Dressed to Kill and Mr Teddy Bear) or dinner parties (Get-A-Way!) in his flats and birthday celebrations in his mansion, but most people there are unknown. He attends motor races and polo matches, goes to the theatre, often one of his partners is his date.

Many of his friends have to die because they are friends or colleagues of John Steed because they work for the Ministry, the Secret Service, or the Ministry of Information.

Freddy Cartwright wears one of Steed's suits and is mistaken for him when there is an attempt on Steed's life. Cartwright get's killed instead of Steed in Homicide and Old Lace.

Major George Wentworth has to die in The Joker because he cuts himself on a poisoned razor which was supposed to kill Steed.

George Neville and Paul Ryder, close friends of Steed how served with him in the war, get also killed in Get-A-Way!, when a group of foreign agents escapes from prison and starts to take revenge at Steed and his friends.

Mark Clifford, Steed's oldest friend (same school, same cricket team, in love with the same woman) dies when he is shot with an arrow and gets replaced by a doppelganger. Later Clifford (or better said now his double) dies "again" in Steed's arms from a heart attack.Steed says it was like "losing a brother" after Clifford's death.

Mark Crayford, a former close friend of Steed, now a traitor, dies from a bullet to the heart fired by Steed (TNA Dead Men Are Dangerous)

Frank Hardy, a friend, and colleague of Steed was killed by criminals in the TNA episode Sleepers.

2. But there are those who are the lucky ones:

Hal Anderson (alive) and Steed trained together, which can only mean that they became agents at the same time (The Wringer) and they must have worked together at the Carinthia pipeline as Steed says he has not "walked so far since our Yugoslavian hike".

Vicar Teddy Shelley (alive), a good friend of Steed in Thingumajig

The Curious Case of the Countless Clues:
There are other friends such as the Flanders family. Bobby is an old friend of Steed and so is his sister Janice Flanders, who's an old flame of Steed.

Bill Bassett (alive) and his wife Laura are close friends of Steed. Bill Basset served with John Steed (in the army), and he was his fellow prisoner in the Camp Nanking (Take-Over).

Thomas McKay (alive) is an old friend of Steed, who calls him "Tommy". McKay is head of the Department's for which Steed works, and John Steed is obviously the second-in-command, "the hub" of the organization, as McKay says in TNA Hostage.
Thomas "Tommy" McKay Bill Bassett and his wife Vicar Teddy Shelley
Steed and WomenSteed's Girlfriends in TNA
Here is list of Steed's friends on Steedumbrella, there are many more...

David Smith's site The Avengers Forever has a site for Steed's "filly of the week" in The New Avengers and of all of his friends who died during The New Avengers.

The Killing Fields of The Avengers (series 3 - 6) and The New Avengers can be found on Piers Johnson's site Mrs Peel...We'Are Needed!
Janice Flanders Hal Anderson