They were originally on the same tribe. She has autism.
He was the only one she told about her autism and how when she gets overwhelmed and overstimulated, she can have a meltdown and she told him how to help calm her down (which is why she kept looking over at him).
She struggled in this challenge after a tribe swap, but ended up pulling out the win.
He was struggling with not going over to help, because it could've blown up their game since they were on different tribes now (which is why he looks so in pain).
Which is why you hear the host ask if he wanted to go give her a hug (the host, Jeff, knew about all of this).
So Joe immediately went over and utilized the techniques she had told and shown him to help her calm down and regulate herself again.
It's actually a beautiful moment and they had a beautiful father/daughter bond throughout this season. (Survivor Series)