Henry and Eliza complete each other. Higgins acknowledges he lives as part of a phony British society that he disdains. Eliza is looking for stability and security in a class-driven world where nice things are just out of reach and unattainable for most.
Eliza shows Higgins the commitment and trust that he rarely sees among his peers, and Higgins begins to grow closer to Eliza and becomes proud of her accomplishments and bravery, and her will to succeed.
Eliza is grateful to Higgins despite knowing she starts out as a pawn in his "experiment" to embarrass the upper class. She chooses the strict but successful Henry over the shallow Freddie.
It may be impossible to find a more heroic character than Eliza Doolittle.