We present a facial landmark position correlation analysis as well as its applications. Although numerous facial landmark detection methods have been presented in the literature, few of them concern the intrinsic relationship among the landmarks. In order to reveal and interpret this relationship, we propose to analyze the facial landmark correlation by using Canonical Correlation Analysis (CCA). We experimentally show that dense facial landmark annotations in current benchmarks are strongly correlated, and we propose several applications based on this analysis. First, we give insights into the predictions from different facial landmark detection models (including cascaded random forests, cascaded Convolutional Neural Networks (CNNs), heatmap regression models) and interpret how CNNs progressively learn to predict facial landmarks. Second, we propose a few-shot learning method that allows to considerably reduce manual effort for dense landmark annotation. To this end, we select a portion of landmarks from the dense annotation format to form a sparse format, which is mostly correlated to the rest of them. Thanks to the strong correlation among the landmarks, the entire set of dense facial landmarks can then be inferred from the annotation in the sparse format by transfer learning. Unlike the previous methods, we mainly focus on how to find the most efficient sparse format to annotate. Overall, our correlation analysis provides new perspectives for the research on facial landmark detection.