Magnetic resonance (MR) imaging tasks often involve multiple contrasts, such as T1-weighted, T2-weighted and Fluid-attenuated inversion recovery (FLAIR) data. These contrasts capture information associated with the same underlying anatomy and thus exhibit similarities in either structure level or gray level. In this paper, we propose a Coupled Dictionary Learning based multi-contrast MRI reconstruction (CDLMRI) approach to leverage the dependency correlation between different contrasts for guided or joint reconstruction from their under-sampled k-space data. Our approach iterates between three stages: coupled dictionary learning, coupled sparse denoising, and enforcing k-space consistency. The first stage learns a set of dictionaries that not only are adaptive to the contrasts, but also capture correlations among multiple contrasts in a sparse transform domain. By capitalizing on the learned dictionaries, the second stage performs coupled sparse coding to remove the aliasing and noise in the corrupted contrasts. The third stage enforces consistency between the denoised contrasts and the measurements in the k-space domain. Numerical experiments, consisting of retrospective under-sampling of various MRI contrasts with a variety of sampling schemes, demonstrate that CDLMRI is capable of capturing structural dependencies between different contrasts. The learned priors indicate notable advantages in multi-contrast MR imaging and promising applications in quantitative MR imaging such as MR fingerprinting.