Non-Markovian corrections to the Markovian quantum master equation of an open quantum system are investigated up to the second order of the interaction between the system of interest and a thermal reservoir. The concept of "natural correlation" is discussed. When the system is naturally correlated with a thermal reservoir, the time evolution of the reduced density matrix looks Markovian even in a short-time regime. If the total system was initially in an "unnatural" state, the natural correlation is established during the time evolution, and after that the time evolution becomes Markovian in a long-time regime. It is also shown that for a certain set of reduced density matrices, the naturally correlated state does not exist. If the initial reduced density matrix has no naturally correlated state, the time evolution is inevitably non-Markovian in a short-time regime.The time evolution of the reduced density matrix ρ S (t) of the system of interest in contact with a large thermal reservoir is described by the quantum master equation [1][2][3]. When the coupling constant λ between the system and the reservoir is very small, the time scale of the relaxation is well separated from the time scale of the microscopic motion of the system and that of the reservoir, and hence the Markov approximation is justified. Indeed, the Markovian quantum master equation is rigorously derived in the van Hove limit, λ → 0 with λ 2 t fixed [4]. However, in some real situations, such as atoms in photonic band gap media [5][6][7][8] and an optical cavity coupled to a structured reservoir [9], the deviation from the van Hove limit is important and the non-Markov effect is not negligible.In this paper, the non-Markovian corrections are investigated up to the order of λ 2 . The key concept discussed in this work is the natural correlation between the system of interest and the thermal reservoir. The following properties are to be clarified. When the total system starts from a naturally correlated state, the time evolution of the system of interest obeys the Markovian quantum master equation even if there is deviation from the van Hove limit. On the other hand, if the initial state is not a naturally correlated state, the time evolution must be non-Markovian in short times t τ R , where τ R is a characteristic time of the motion of the thermal reservoir. Even in this case, after a sufficiently long time t ≫ τ R , the time evolution approximately becomes Markovian since the natural correlation is established during the time evolution.The further observation of this work is that there is a set U of reduced density matrices such that for any ρ S ∈ U, the naturally correlated state does not exist. Therefore, if some ρ S ∈ U is chosen as an initial state of the system of interest, the time evolution is inevitably non-Markovian in the short time regime t τ R . After some time t, ρ S (t) will get out of U and the natural correlation will develop there. * Electronic address: mori@spin.phys.s.u-tokyo.ac.jp Now the setup is explained. The Hamiltonian ...