In this paper, we first present some sufficient conditions for the existence of random attractors for general continuous random dynamical systems (RDSs) defined on the separable Banach space consisting of continuous functions from () into the weighted space of infinite sequences and continuous RDSs associated with stochastic retarded lattice dynamical systems in the state space , where is a positive-valued function from into and is a positive constant. Then we apply the obtained abstract result to the first-order stochastic retarded lattice system with random coupled coefficients and additive white noise.