Negative social interactions have been extensively studied in dairy cattle, but little is known about the establishment of positive (preferential) relationships. Adult dairy cows are known to spend more time at close proximity to specific social partners, indicating that they establish stronger bonds with these animals, but few studies have explored what happens in socially housed calves. In this study, we explored whether calves that spent their entire life in the same social group established social preferences (i.e. pairs of individuals that interact more) that are stable over time (two 48-h periods, separated by three days), across two types of behavior (standing and lying) and across contexts (change in environment and housing design). When housed in an open pack, calves showed consistent proximity patterns when standing (but not when lying). These preferential relationships persisted even after calves were moved into a new pen fitted with free stalls. At the individual level, calves varied in how selective they were in their social relationships, with some calves spending much more time with specific partners than did others. This degree of selectivity was not associated to Sociability, marginally associated to Fearfulness, but was associated with Pessimism (more pessimistic calves were more selective in their social relationships). In conclusion, calves can form selective relationships that appeared to be consistent over time and across context, and the degree to which calves were selective varied in relation to individual differences in Pessimism.