When you sit down to make characters, make them together. Just be around the other players, and the DM, when you’re making them. Bounce ideas off of each other. Surround yourself with the mood of the budding campaign.
When you’re about halfway done, when you’ve chosen your race and class, now it’s time to make links. Pick one player to start at, and have them pick another player. Explain why these two characters are going to start adventuring together. This might be a past encounter whereupon they formed a bond that will only strengthen. Or maybe they share an ancestral line, or were born in the same village on the same day and grew up together. Maybe one is just deeply impressed with the other. Maybe there’s a hint of romance?
Either player has total veto power over the nature of this link between their characters, of course.
Once an agreement has been reached, those two players should write down what they agreed has tied them together in some way. And then you pick two more characters at random and repeat the process.
By the time you’re done, every character should have a link to at least one other character. Every character should be linked to every other character, even if tenuously.
What you’re doing is using the all-important session zero to build a character map for your adventuring group. This forms the basic building block that gets your adventuring party off the ground and moving. It’s one of the most useful and important tools a DM has.
Try not to worry too much if your players are satisfied with really tenuous links, or with something perhaps a little superficial. The exact nature of the links themselves only matters as much as the players want, and as their characters adventure together, they’ll evolve and change and grow together a little more organically. This is just the planting of a seed.