The capacity of a discrete-time channel with correlated phase noises is investigated. In particular, the electro-optic frequency comb system is considered, where the phase noise of each subchannel 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 subchannels. A constant gap between the asymptotic upper and lower bounds is observed, which depends on the number of subchannels $M$. For the specific case of $M=2$, capacity is characterized up to a term that vanishes as the SNR grows large.