Yes, they are each other’s brothers-in-law
Emperor Wu of the Han Dynasty married Wei Qing’s sister Wei Zifu, and Wei Qing married Emperor Wu of the Han Dynasty’s sister (eldest sister) Princess Pingyang
When Princess Pingyang married Wei Qing, she had already been married three times. First, she married Pingyang Marquis Cao Shou (Cao Shi). After Cao Shou died, she remarried Ruyin Marquis Xiahou Po. Xiahou Po committed suicide because of his crime and then remarried Da Da. Sima General Wei Qing.