The coupling between the spin degrees of freedom and the orbital angular momentum has a profound effect on the properties of nuclei, atoms and condensed matter systems. Recently, synthetic gauge fields have been realized experimentally in neutral cold atom systems, giving rise to a spin-orbit coupling term with "strength" kso. This paper investigates the interplay between the single-particle spin-orbit coupling term of Rashba type and the short-range two-body s-wave interaction for cold atoms under external confinement. Specifically, we consider two different harmonically trapped two-atom systems. The first system consists of an atom with spin-orbit coupling that interacts with a structureless particle through a short-range two-body potential. The second system consists of two atoms that both feel the spin-orbit coupling term and that interact through a short-range two-body potential. Treating the spin-orbit term perturbatively, we determine the correction to the ground state energy for various generic parameter combinations. Selected excited states are also treated. An important aspect of our study is that the perturbative treatment is not limited to small s-wave scattering lengths but provides insights into the system behavior over a wide range of scattering lengths, including the strongly-interacting unitary regime. We find that the interplay between the spin-orbit coupling term and the s-wave interaction generically enters, depending on the exact parameter combinations of the s-wave scattering lengths, at order k 2 so or k 4 so for the ground state and leads to a shift of the energy of either sign. While the absence of a term proportional to kso follows straightforwardly from the functional form of the spin-orbit coupling term, the absence of a term proportional to k 2 so for certain parameter combinations is unexpected. The well-known fact that the spin-orbit coupling term couples the relative and center of mass degrees of freedom has interesting consequences for the trapped two-particle systems. For example, we find that the spin-orbit coupling term turns, for certain parameter combinations, sharp crossings into avoided crossings with an energy splitting proportional to kso. Our perturbative results are confirmed by numerical calculations that expand the eigenfunctions of the two-particle Hamiltonian in terms of basis functions that contain explicitly correlated Gaussians.