There are many things you can do to have a closer relationship. Be careful here - Protestants speak of their relationship, which is great, but it’s also an implicit rejection of the Church, its tradition, and the magisterium at the same time. There is a reason they focus on that particular language.
Here are some devotions and practices to think about:
-Louis De Montfort - True Devotion to the Blessed Virigin (as a way to come closer to Jesus) or 33 Days to Morning Glory.
-The writings of Saint Therese of Lisieux (the Little Flower of Jesus)
-Read Matthew 25 and then do something with that in mind. Think about joining a church ministry or Legion of Mary. Donate to a Christian food pantry or shelter to honor Jesus’s words.
-Pray the Divine Office or the Little Office
-Read the diary of Saint Faustina and pray the Chaplet of Divine Mercy. Get yourself a Divine Mercy image, too.
-Read the writings of Padre Pio or his daily devotional. Watch the movie too (he was a stigmatist).
-Receive the sacraments
-Pray the Jesus Prayer often
-Read about a Benedict cross.
-Read about the name of Jesus as used by priests to expel the enemy.