There's no way to be sure if the joker and the thief are actually pals. Maybe they were assigned to work together as messengers, and they really hate each other. But we don't think so. They are both misfits and outcasts, so they're natural companions. Plus, the thief speaks "kindly" to the joker and seems to know a lot about him. At the end of the song, we assume that the two are riding together as they approach the city on horseback. The most intriguing part of their friendship is the verse, "You and I, we've been through that," meaning they have both felt that life is a joke at some point in their lives.
Because this is a rock and roll song, we have decided not to write possible academic arguments, as it seems to detract from the heart and soul of the song. Please let us know if you disagree!