One of the core throughlines of Futurama was the developing romance between Fry, a dumb, well-meaning and time-displaced delivery boy from the 21st century, and Leela, a capable pilot and fighter who's never had a family. While that element would become more pronounced in later seasons, the earlier parts of the show introduced other romantic interests for Fry that all fell apart in some unexpectedly silly and occasionally mature ways across the course of Futurama.
Michelle Jenkins
Michelle was Fry's girlfriend in his original time period. The night Fry was frozen, Michelle left Fry for another man and thought she'd never see Fry again. She never moved past Fry though, as revealed by Season 2, Episode 19, "The Cryonic Woman." Now voiced by Sarah Silverman, Michelle eventually gave into despair and agreed to be frozen for centuries in hopes of finding a new life. Woken up in the 31st century, she found Fry and resumed their romance.
However, she had trouble adjusting to the way the world worked in the new era, unlike Fry. She eventually convinced Fry to freeze themselves again, seemingly trapping them in a post-apocalyptic 41st century. The pair's problems resurfaced during this period, and Fry eventually broke up with her -- only to discover they'd merely been dropped off in the 31st-century version of Los Angeles. Michelle quickly bounced back though, forming a new relationship with unfrozen actor Pauly Shore.
Amy Wong
Like Leela, Amy Wong is one of Fry's co-workers at Planet Express and a major supporting character. At first glance, her flirty and happy-go-lucky attitude would appear to be a better fit with Fry than the far more serious Leela, and the pair even had a brief romance in Season 2, Episode 7, "Put Your Head On My Shoulder." Although the two had a fun relationship, Fry feared it was becoming too serious too quick and tried to end things amicably.
However, this was complicated when an accident resulted in Fry's head being temporarily grafted onto Amy's body. Amy quickly rebounded, finding a date for Valentine's Day, even with Fry as an unwilling third wheel. Although the pair fell apart romantically, they resumed their friendship -- making occasional references to their brief fling in future episodes, but they both focused primarily on their chief love interests.
Morgan Proctor
Morgan Proctor -- played by SNL alum Nora Dunn -- was introduced in Season 2, Episode 11, "How Hermes Requisitioned His Groove Back." After Hermes suffered a breakdown, he's forced onto vacation and temporarily replaced by the Central Bureaucracy with Morgan. Although Morgan was primarily a harsh employer, she ended up fostering an attraction to Fry due to his slovenly ways.
This romance resulted in Fry receiving a promotion, but things fell apart when Bender learned of the inappropriate nature of the relationship. In an attempt to hide it from the Central Bureaucracy, Morgan stole Bender's hard drive and shipped it to the labyrinth-like headquarters of the organization. Fry promptly broke up with Morgan and set off with the rest of the Planet Express Crew to find Bender and restore him.
Umbriel
Umbriel was a mermaid hidden in the seas of Futurama. In the history of Futurama, the American city of Atlanta was eventually air-lifted away from the continent in hopes of attracting more tourism. When the city became too heavy, it sank to the bottom of the sea, as revealed in Season 2, Episode 12, "The Deep South." The caffeine from the local Coca-Cola factory resulted in a heightened evolution for the remaining citizens, transforming them into mer-people.
Umbriel was the daughter of the town's local leader and was a curious and friendly figure. Upon meeting Fry, the pair grew close and began a romance. Fry even came close to remaining at the bottom of the sea permanently so he could stay with her. However, before his body adapted, he discovered the physical incompatibilities of humans and mermaids, so he retreated back to the surface, breaking Umbriel's heart along the way.
Colleen O'Hallahan
Colleen was introduced in Season 5's "The Beast With a Billion Backs." Played by the late Brittany Murphy, Colleen was a member of the New New York Police Department and was one of the people horrified when Bender's repeated time-travel resulted in a crack in the universe. In the aftermath, she found solace with Fry, spending the night with him. The pair tried to continue a romance, but Fry found himself unable to accept her polyamorous relationship with other men.
Fry and Colleen split apart, with a despondent Fry venturing into the crack in the universe and meeting Yivo, a massive alien life-form that used him to attack Earth and try to assimilate it into a "relationship." Although Yivo eventually retreated back to his dimension without most of humanity, he developed a particular fondness for Colleen, leading her to follow him back to his reality.