We study a non-local two species cross-interaction model with cross-diffusion. We propose a positivity preserving finite volume scheme based on the numerical method introduced in Ref.  and explore this new model numerically in terms of its long-time behaviours. Using the so gained insights, we compute analytical stationary states and travelling pulse solutions for a particular model in the case of attractive-attractive/attractive-repulsive cross-interactions. We show that, as the strength of the cross-diffusivity decreases, there is a transition from adjacent solutions to completely segregated densities, and we compute the threshold analytically for attractive-repulsive cross-interactions. Other bifurcating stationary states with various coexistence components of the support are analysed in the attractive-attractive case. We find a strong agreement between the numerically and the analytically computed steady states in these particular cases, whose main qualitative features are also present for more general potentials.