We study the capture of dark matter particles by neutron stars in close binary systems. By performing a direct numerical simulation, we find that there is a sizable amplification of the rate of dark matter capture by each of the companions. In case of the binary pulsar PSR J1906+0746 with the orbital period of 4 hours the amplification factor is 3.5. This amplification can be attributed to the energy loss by dark matter particles resulting from their gravitational scattering off moving companions.