We theoretically investigate correlated electron-hole states in vertically coupled quantum dots. Employing a prototypical double-dot confinement and a configuration-interaction description for the electron-hole states, it is shown that the few-particle ground state undergoes transitions between different quantum states as a function of the interdot distance, resulting in unexpected spatial correlations among carriers and in electron-hole localization. Such transitions provide a direct manifestations of inter- and intradot correlations, which can be directly monitored in experiments.