The capacity of a discrete-time multiple-input-multiple-output channel with correlated phase noises is investigated. In particular, the electro-optic frequency comb system is considered, where the phase noise of each channel is a combination of two independent Wiener phase-noise sources. Capacity upper and lower bounds are derived for this channel and are compared with lower bounds obtained by numerically evaluating the achievable information rates using quadrature amplitude modulation constellations. Capacity upper and lower bounds are provided for the high signal-to-noise ratio (SNR) regime. The multiplexing gain (pre-log) is shown to be $M-1$, where $M$ represents the number of channels. A constant gap between the asymptotic upper and lower bounds is observed, which depends on the number of channels $M$. For the specific case of $M=2$, capacity is characterized up to a term that vanishes as the SNR grows large.
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