Compared to the intuitionistic fuzzy sets, the Pythagorean fuzzy sets (PFSs) can provide the decision makers with more freedom to express their evaluation information. There exist some research results on the correlation coefficient between PFSs, but sometimes they fail to deal with the problems of disease diagnosis and cluster analysis. To tackle the drawbacks of the existing correlation coefficients between PFSs, some novel directional correlation coefficients are put forward to compute the relationship between two PFSs by taking four parameters of the PFSs into consideration, which are the membership degree, non-membership degree, strength of commitment, and direction of commitment. Afterwards, two practical examples are given to show the application of the proposed directional correlation coefficient in the disease diagnosis, and the application of the proposed weighted directional correlation coefficient in the cluster analysis. Finally, they are compared with the previous correlation coefficients that have been developed for PFSs.