Just as easily as the tension had appeared along with Peggy, it disappeared with those words. It meant a lot to him to hear her say that, and to have her tuck herself up against him. Whatever came their way, little things like that reassured him that they'd get through anything. There had always been something about their friendship that was easy and comfortable, which Steve thought had a lot to do with why he fell for her eventually. She knew him - every inch - and her support had been invaluable. It still was. He never wanted that to change. There had been a time that he worried what he really was to her, but he'd stopped caring about that a while ago. The more removed she was from her world, the more he felt like this world was hers too, and by extension, him.
He waited for her to continue, just letting himself hold her close, running one hand up and down her back slowly. "You want to talk about it?" he asked slowly, his eyes full of concern. "I'll take a guess and say it isn't all good." He knew enough about her world to know how chaotic and dangerous it was - much like his world, but only to the extreme - so it didn't feel like much of a stretch to think it wasn't great.