Particle-particle correlation functions in ionic systems control many of their macroscopic properties. In this work, we use stochastic density functional theory to compute these correlations, and then we analyze their long-range behavior. In particular, we study the system's response to a rapid change (quench) in the external electric field. We show that the correlation functions relax diffusively toward the non-equilibrium stationary state and that in a stationary state, they present a universal conical shape. This shape distinguishes this system from systems with short-range interactions, where the correlations have a parabolic shape. We relate this temporal evolution of the correlations to the algebraic relaxation of the total charge current reported previously.