Sherlock and Mycroft are at the Morgue where Sherlock has just identified Irene Adler's beaten body, Sherlock walks out into the hall and Mycroft follows and offers him "just one cigarette."
"Smoking indoors. Isn't there one of those law things?"
"We're in a morgue. There's only so much damage you can do."
Down the hall they see people crying and Sherlock says, "Look at them. They all care so much. Do you ever wonder if there's something wrong with us?"
"All lives end. All hearts are broken. Caring is not an advantage, Sherlock."
Still smoking, Sherlock complains, "This is low tar."
"Well, you barely knew her."
from "A Scandal in Belgravia"
Mycroft goes after Sherlock to bring him back to hunt down an underground network planning an attack in London. He finds him being tortured in Serbia and after he gets him back to the Diogenes Club he says, "A small ‘thank you’ wouldn’t go amiss."
"What for?"
"For wading in."
"In case you’d forgotten, fieldwork is not my natural milieu."
"'Wading in'? You sat there and watched me being beaten to a pulp."
"I got you out. "
"No – I got me out. Why didn’t you intervene sooner?"
"Well, I couldn’t risk giving myself away, could I? It would have ruined everything."
"You were enjoying it."
"Nonsense."
"Definitely enjoying it."
"Listen: do you have any idea what it was like, Sherlock, going ‘under cover’, smuggling my way into their ranks like that? The noise; the people?"
— from "The Empty Hearse"
Outside of their parents house at Christmas time "His Last Vow" Mycroft tells Sherlock that the villain of "His Last Vow" is not, "a dragon for you to slay."
"A dragon slayer. Is that what you think of me?"
"No. That's what you think of yourself." Then Mycroft asks Sherlock to decline a job offer because it would kill him in six months. Sherlock then wonders why Mycroft doesn't want him to take it. "You have utility closer to home."
"Utility. How do I have utility?"
"Here be dragons." After another moment, Mycroft pauses on his way into the house to admit to his brother. "Also your loss would break my heart."
Sherlock who is smoking, starts coughing. Then he asks,"What the hell am I to say to that?"
"Merry Christmas."
"You hate Christmas."
"Yes. Perhaps there was something in the punch."
"Clearly. Go and have some more."
Drugged Mycroft Revelation
"Unwise, Brother, Mine
Mycroft Denying Brotherly Compassion
Holmes boys | Sherlock BBC
What the writers/producers of Sherlock say about the relationship:
"Steven Moffat, who co-produces the show, says: ‘Mycroft is a very complex character. Somehow, he’s the key to Sherlock.’" — source The Daily Mail
Other Resources that discuss this relationship:
I Believe in Mycroft: Essay on the Doyle Canon and "The Private Life of Sherlock Homes" which provided inspiration for the BBC's 'Sherlock'
From "The Sign of Three", Mrs. Hudson says to Sherlock, "Your mother has a lot to answer for."
"I know. I have a list. Mycroft has a file."
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