When two populations of "particles" move in opposite directions, like oppositely charged colloids under an electric field or intersecting flows of pedestrians, they can move collectively, forming lanes along their direction of motion. The nature of this "laning transition" is still being debated and, in particular, the pair correlation functions, which are the key observables to quantify this phenomenon, have not been characterized yet. Here, we determine the correlations using an analytical approach based on a linearization of the stochastic equations for the density fields, which is valid for dense systems of soft particles. We find that the correlations decay algebraically along the direction of motion, and have a self-similar exponential profile in the transverse direction. Brownian dynamics simulations confirm our theoretical predictions and show that they also hold beyond the validity range of our analytical approach, pointing to a universal behavior.