We have carried out extensive molecular-dynamics simulation studies of binary Lennard-Jones mixtures to calculate directly the bridge function at state points lying in a very narrow single fluid phase region between the vapor-liquid and solid-liquid coexistence lines [Lamm and Hall, Fluid Phase Equilib. 182, 37 (2001); 194-197, 197 (2002)]. By varying the density close to the liquid-vapor coexistence line, significant deviations are observed at intermediate distances between the simulated bridge function and two widely used approximate closures in the integral equation theory of liquids, viz. the hybrid mean spherical approximation and the Duh-Henderson closures. The overall qualitative agreement remains the same with small variation in temperature that brings the system closer to either the liquid-vapor or liquid-solid coexistence curve. We also report a comparison of the direct and indirect correlation functions obtained from our simulation studies as well as from the integral equation theory of liquids. Our results emphasize the need for developing new closures applicable to binary fluid mixtures over a wide range of thermodynamic parameters.