Although diffuse interstellar bands (DIBs) were discovered over 100 years ago, for most of them, their origins are still unknown. Investigation on the correlations between different DIBs is an important way to study the behavior and distributions of their carriers. Based on stacking thousands of spectra from the Pristine Inner Galaxy Survey, we study the correlations between two DIBs at 442.8 nm (λ442.8) and 862.1 nm (λ862.1), as well as the dust grains, in a range of latitude spanning ~22^○ (4^○ < |b| < 15^○) toward the Galactic center (|ℓ| < 11^○). Tight linear intensity correlations can be found between λ442.8, λ862.1, and dust grains for |b| < 12^○ or E(B - V) > 0.3 mag. For |b| > 12^○, λ442.8 and λ862.1 present larger relative strength with respect to the dust grains. A systematic variation of the relative strength between λ442.8 and λ862.1 with |b| and E(B - V) concludes that the two DIBs do not share a common carrier. Furthermore, the carrier of λ862.1 is more abundant at high latitudes than that of λ442.8. This work can be treated as an example showing the significance and potentials to the DIB research covering a large latitude range.