Who is this friend- the one who is closer than a brother. Jesus?
Well, He is that to us, yes. He's also our Brother by the grace of our adoption (Romans 8:29).
The explicit context of the passage in the Proverbs is, as others have mentioned, about how one may have a lot of friends but come to ruin, but there are those who are truly committed friends, closer than blood, because they stick with us through everything. There is a similar sentiment found in the way the Greeks conceived of that kind of love which they called philia, which was contrasted with storge (empathetic bond, such as between parents and their children, or between natural siblings), philia was an intentional bond between equals, walking with someone else out of the choice to stand and be with them; Aristotle considered philia the greatest kind of love because it surpassed the natural affections and empathy to a deliberate way of living, to, as it were, choose to be as family to someone though without any compulsion due to blood ties.
A biblical example of this kind of love can be seen in the bond between David and Jonathan. They were not blood-kin, but they were devoted to one another as though they were brothers. That's philia, and that's the kind of friendship that is "closer than a brother" which the Proverbs speak of.
We see the ultimate expression of this in Jesus, who said to His disciples,
"
Greater love has no one than this, that someone lay down their life for their friends. You are My friends if you do what I have commanded you. No longer do I call you servants, for the servant does not know what his master is doing; but I have called you friends, for all that I have heard from My Father I have made known to you. You did not choose Me, but I chose you," - John 15:13-16a
We also read that God chose Abraham to be His friend (2 Chronicles 20:7, Isaiah 41:8, James 2:23).
God, in Christ, has deigned to call us friends and brothers. And so it is in Christ that we truly find the fullest expression of the brotherly and friendly heart of God, a kinship with us closer than our own blood by His grace and kindness toward us, in laying down His life for us and bringing us into peace and reconciliation with God.
So the passage in Proverbs itself is speaking more generally, but we also see how it is Christ who gives fullness to the Scripture. For the Scriptures always bear witness to Him.
-CryptoLutheran