For reductive groups and smooth actions the answer seems to be positive, if I remember correctly; this follows from Luna's slice theorem:
- D. Luna, Slices ́etales, Sur les groupes alg ́ebriques, Soc. Math. France, Paris, 1973, pp. 81– 105. Bull. Soc. Math. France, Paris, M ́emoire 33.
There seems to be even the statement:
Each orbit contains exactly one closed orbit in its closure.
Added later: At least for a representation. See Claudio Gorodski's more detailed answer.
By the way, an orbit a smooth Lie group action on a smooth manifold is always an initial manifold, see here, or also theorem 6.4 in this book.