In multi-label learning, each object is represented by a single instance and is associated with more than one class labels, where the labels might be correlated with each other. As we all know, exploiting label correlations can definitely improve the performance of a multi-label classification model. Existing methods mainly model label correlations in an indirect way, i.e., adding extra constraints on the coefficients or outputs of a model based on a pre-learned label correlation graph. Meanwhile, the high dimension of the feature space also poses great challenges to multi-label learning, such as high time and memory costs. To solve the above mentioned issues, in this paper, we propose a new approach for Multi-Label Learning by Correlation Embedding, namely MLLCE, where the feature space dimension reduction and the multi-label classification are integrated into a unified framework. Specifically, we project the original high-dimensional feature space to a low-dimensional latent space by a mapping matrix. To model label correlation, we learn an embedding matrix from the pre-defined label correlation graph by graph embedding. Then, we construct a multi-label classifier from the low-dimensional latent feature space to the label space, where the embedding matrix is utilized as the model coefficients. Finally, we extend the proposed method MLLCE to the nonlinear version, i.e., NL-MLLCE. The comparison experiment with the state-of-the-art approaches shows that the proposed method MLLCE has a competitive performance in multi-label learning.