We recently introduced [J. Chem. Phys. 2020, 152, 204103] the nuclear-electronic all-particle density matrix renormalization group (NEAP-DMRG) method to solve the molecular Schrödinger equation, based on a stochastically optimized orbital basis, without invoking the Born-Oppenheimer approximation. In this work, we combine the DMRG method with the nuclear-electronic Hartree-Fock (NEHF-DMRG) approach, treating nuclei and electrons on the same footing. Inter- and intraspecies correlations are described within the DMRG method without truncating the excitation degree of the full configuration interaction wave function. We extend the concept of orbital entanglement and mutual information to nuclear-electronic wave functions and demonstrate that they are reliable metrics to detect strong correlation effects. We apply the NEHF-DMRG method to the HeHHe+ molecular ion, to obtain accurate proton densities, ground-state total energies, and vibrational transition frequencies by comparison with state-of-the-art data obtained with grid-based approaches and modern configuration interaction methods. For HCN, we improve on the accuracy of the latter approaches with respect to both the ground-state absolute energy and proton density, which is a major challenge for multireference nuclear-electronic state-of-the-art methods.