In the context of investment, correlation is a measure of how two assets change price together.
If two assets always increase/decrease value at the same time and by the same percent, they are highly correlated. These two assets would have a correlation coefficient near 1. If two assets change price independent of one another, they are uncorrelated (a coefficient near 0). Finally, if one asset descreases price when the other increases (and vice versa) the two assets are negatively correlated, with a coefficient less than 0. Having small or negatively correlated assets is critical for diversification.
Investopedia’s article on correlation
Asset correlation map