There are a number of people who try to explain why this underdog effect is strong in people and no one knows the real answer. Perhaps it could very well be that we cheer for the underdog because if winners always win then there is no point to pay attention to the game. There are a number of theories put out there as to why so many of us pull for the underdog, and I would submit perhaps it is rooted in Spirituality.
Could it be that the original concern for the underdog came by way of religion? Looking at religious laws you can see a concern for the social underdogs. While we judge these laws by today's standards and thus they seem in many ways outdated, in the time they were created they were huge steps forward for care of the underdogs.
Could it be evidence to something "more" in this world that would give us a concern for the underdog. Ants, cows, birds, and fish do not care about the underdog. People do.
Could it be that people care about the underdog (and thus "cheer" for them when we can) because of a revelation in humanity over time? A revelation that cannot be seen or measured or observed but one that in fact influences the world. A revelation that Christians call Christ.