We predict quantum correlations between noninteracting particles evolving simultaneously in a disordered medium. While the particle density follows the single-particle dynamics and exhibits Anderson localization, the two-particle correlation develops unique features that depend on the quantum statistics of the particles and their initial separation. On short time scales, the localization of one particle becomes dependent on whether or not the other particle is localized. On long time scales, the localized particles show oscillatory correlations within the localization length. These effects can be observed in Anderson localization of nonclassical light and ultracold atoms.