They may sometimes be used as if they mean the same thing but correlation is more specific, and association is more general, with relationship being between the two. If a variable is correlated with another, then it could also be called related or associated with it. However, a variable may be related to another, or associated with another, but not be correlated to it.

Correlation means that they move together (positive correlation indicates increasing and decreasing together, negative correlation means they move in opposite direction). Linear correlation is more specific still; then they move in proportion, not just in the same (or opposite) direction.

A relationship suggests that as one variable changes the other tends to change as well. For example, two variables may have a quadratic relationship. This may occur with correlation or variables may be related but uncorrelated.

Hope this helps