In this paper, the exact transient quantum transport of non-interacting nanostructures is investigated in the presence of initial system-lead correlations and initial lead-lead correlations for a device system coupled to general electronic leads. The exact master equation incorporating with initial correlations is derived through the extended quantum Langevin equation. The effects of the initial correlations are manifested through the time-dependent fluctuations contained explicitly in the exact master equation. The transient transport current incorporating with initial correlations is obtained from the exact master equation. The resulting transient transport current can be expressed in terms of the single-particle propagating and correlation Green functions of the device system. We show that the initial correlations can affect quantum transport not only in the transient regime, but also in the steady-state limit when system-lead couplings are strong enough so that electron localized bound states occur in the device system.