A way to account for correlations between the chemically active (valence) and innermore (core) electrons in the framework of the generalized relativistic effective core potential (GRECP) method is suggested. The "correlated" GRECP's (CGRECP's) are generated for the Hg and Pb atoms. Only correlations for the external 12 and 4 electrons of them, correspondingly, should be treated explicitly in the subsequent calculations with these CGRECP's whereas the innermore electrons are excluded from the calculations. Results of atomic calculations with the correlated and earlier GRECP versions are compared with the corresponding all-electron Dirac-Coulomb values. Calculations with the above GRECP's and CGRECP's are also carried out for the lowest-lying states of the HgH molecule and its cation and for the ground state of the PbO molecule, as compared to earlier calculations and experimental data. The accuracy for the vibrational frequencies is increased up to an order of magnitude and the errors for the bond lengths (rotational constants) are decreased in about two times when the correlated GRECP's are applied instead of earlier GRECP versions employing the same innercore-outercore-valence partitioning.