We discuss structural correlations in mixtures of free polymer and colloidal particles on the basis of a microscopic, two-component liquid-state integral equation theory. Whereas in the case of polymers much smaller than the spherical particles the relevant polymer degree of freedom is the centre of mass, for polymers larger than the (nano-) particles, conformational rearrangements need to be considered. They have the important consequence that the polymer depletion layer exhibits two widely different length scales, one of the order of the particle radius, the other of the order of the polymer radius or the polymerdensity screening length in dilute or semidilute concentrations, respectively. Because we find a spinodal instability (mostly) below the overlap concentration, the latter length is (mostly) set by the radius of gyration. As a consequence of the structure of the depletion layer, the particle-particle correlations depend on both length scales for large polymers. Because of the high local compressibility of large polymers, the local depletion layer is a strong function of particle density, but a weak function of polymer concentration. The amplitude of the long-ranged tail of the depletion layer also depends asymptotically only on the colloid concentration, while the range increases upon approaching the (meanfield) spinodal. The colloid correlations may be understood as characteristic for particles with a short-ranged potential when small polymers are added, and as characteristic for particles with a long-ranged, van der Waals-like attraction when the added free polymer coils are much larger. Small polymers fill the voids between the particles rather homogeneously, exhibiting correlations inside the mesh (which gets squeezed by the colloids) and Porod-like correlations for larger distances. The structure factor of large polymers, however, exhibits no ramified mesh and becomes a Lorentzian characterized by the mixture correlation length, which diverges at the spinodal.