I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in the world as a whole would be desirable but is not necessary.
I found US data here. While this data doesn't include correlations, these can be calculated relatively easily from this data.
Sageworks has the data you'll need and will allow you run these correlations within their software.
You can get individual company revenue and industry classification on Quantopian. You could then calculate the correlations. The data comes from Morningstar as described here: https://www.quantopian.com/posts/fundamental-data-from-morningstar-now-available-for-backtesting
(disclosure: I'm the ceo of quantopian).