This article proposes the problem of joint state estimation and correlation identification for data fusion with unknown and time-varying correlation under the Bayesian learning framework. The considered data correlation is represented by the randomly weighted sum of positive semi-definite matrices, where the random weights depict at least three kinds of unknown correlation across single-sensor measurement components, multisensor measurements, and local estimates. Based on the variational Bayesian mechanism, the joint posterior distribution of the state and weights is derived in a closed-form iterative manner, through minimizing the Kullback-Leibler divergence. The three-case simulation shows the superiority of the proposed method in the root-mean-square error of estimation and identification.