Their similar backgrounds and similar history of gender changing (or seemingly changing sex in Harry’s case) should prompt us to view Orlando and Harry as quite similar people. Yet the two are actually foils: their similarities do not prevent Harry from being ridiculous and Orlando from being brooding and contemplative. Moreover, they act as gender foils for each other as, after Harriet’s revelation that she is really Harry, the two fall into socially inscribed gender roles.
Sasha is Orlando's first love and Shel is her last. For this alone, we feel like these two go together like ketchup and mustard. These two characters are opposites, but they're both associated in our minds by their mutual connection to Orlando. But there's so much more to it than that.
What we have, in Sasha-and-Orlando, is a relationship that's all about avoiding ambiguities. Orlando thinks that she might be a guy, and this freaks him out because, "the person was of his own sex, and thus all embraces were out of the question" (1.26). (This is not a concern he has later in the novel.)
Presented with this fear that Sasha might be a he, Orlando determines that, "Legs, hands, carriage, were a boy's, but no boy ever had a mouth like that; no boy had those breasts; no boy had those eyes which looked as if they had been fished from the bottom of the sea" (1.26). Orlando needs Sasha to be a girl, and so Sasha is a girl. But by making her so firmly the opposite gender, Orlando never really understands her. (For more on this, check out our Sasha "Character Analysis.") Orlando only gets her when he (Orlando) becomes a woman.
And then there's Shel-and-Orlando. This relationship is all about the sharing of essences between people. The two of them are so surprised by their mutual understanding that they just can't get over that they're opposite genders: often goes the refrain, "'But you're a woman, Shel!' 'But you're a man, Orlando!'" (see 5.32, 6.47). Their mutual androgyny keeps getting reasserted. It's this ambiguity of gender that makes them so perfectly matched for one another. In a utopian world, Woolf seems to feel, the only way that a functional relationship with a man and a woman could take place would be if neither were entirely a man or a woman. Without some androgyny or understanding of the other gender, we'd all be Sasha-and-Orlandos.