Superparamagnetic tunnel junctions (SMTJs) are promising sources for the randomness required by some compact and energy-efficient computing schemes. Coupling SMTJs gives rise to collective behavior that could be useful for cognitive computing. We use a simple linear electrical circuit to mutually couple two SMTJs through their stochastic electrical transitions. When one SMTJ makes a thermally induced transition, the voltage across both SMTJs changes, modifying the transition rates of both. This coupling leads to significant correlation between the states of the two devices. Using fits to a generalized N\'eel-Brown model for the individual thermally bistable magnetic devices, we can accurately reproduce the behavior of the coupled devices with a Markov model.