The strong well-posedness of the Vlasov-Fokker-Planck-Dean-Kawasaki (VFPDK) equation with correlated noise is established. This equation can be interpreted as the fluctuating mean-field limit of second-order Newtonian particle systems, combining kinetic theory with stochastic fluctuations. It includes bounded nonlocal interactions and a diffusion coefficient exhibiting a square-root structure. Key challenges stem from the complexity of the kinetic operator and the irregularity introduced by the conservative noise with square-root-type coefficients. The proof relies on a novel combination of kinetic semigroup estimates and the framework of renormalized kinetic solutions.